Entropic Value-at-Risk parity for tempered stable returns

By Jaehyung Choi

Published 2026-09-10

Everscope rating

1428.1

Relevance to quantitative trading

8 / 10

Implementation complexity

8 / 10

Reproducibility

3 / 5

About this paper

Methodology: EVaR-based Risk Budgeting with Tempered Stable Models. Problem types: Portfolio Optimization, Risk Management, Optimization.

arXiv:2609.11905 · Paper rankings

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