EVaR

The entropic value-at-risk (EVaR) is a coherent risk measure introduced by A. Ahmadi Javid (2012) that corresponds to the tightest possible upper bound obtained from the Chernoff inequality for the value-at-risk (VaR). The dual representation of the EVaR is closely related to the Kullback-Leibler divergence, also known as the relative entropy.

The EVaR is an upper bound for the VaR.

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