About: Entropic risk measure

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In financial mathematics (concerned with mathematical modeling of financial markets), the entropic risk measure is a risk measure which depends on the risk aversion of the user through the exponential utility function. It is a possible alternative to other risk measures as value-at-risk or expected shortfall.

Attributes	Values
rdf:type	software
rdfs:label	Entropic risk measure (en)
rdfs:comment	In financial mathematics (concerned with mathematical modeling of financial markets), the entropic risk measure is a risk measure which depends on the risk aversion of the user through the exponential utility function. It is a possible alternative to other risk measures as value-at-risk or expected shortfall. (en)
dcterms:subject	Utility Financial risk modeling
Wikipage page ID	28107702 (xsd:integer)
Wikipage revision ID	1096752785 (xsd:integer)
Link from a Wikipage to another Wikipage	List of financial performance measures Convex risk measure Relative entropy Utility function Utility maximization problem Entropic value at risk Risk aversion Absolutely continuous Utility Acceptance set Financial risk modeling Coherent risk measure Stochastic differential equation Expected shortfall Exponential utility Risk measure Value-at-risk Financial mathematics Conditional risk measure Time consistent
sameAs	Entropic risk measure Entropic risk measure Entropic risk measure
dbp:wikiPageUsesTemplate	dbt:Portal_bar dbt:Reflist dbt:Technical
has abstract	In financial mathematics (concerned with mathematical modeling of financial markets), the entropic risk measure is a risk measure which depends on the risk aversion of the user through the exponential utility function. It is a possible alternative to other risk measures as value-at-risk or expected shortfall. It is a theoretically interesting measure because it provides different risk values for different individuals whose attitudes toward risk may differ. However, in practice it would be difficult to use since quantifying the risk aversion for an individual is difficult to do. The entropic risk measure is the prime example of a convex risk measure which is not coherent. Given the connection to utility functions, it can be used in utility maximization problems. (en)
gold:hypernym	Measure
prov:wasDerivedFrom	wikipedia-en:Entropic_risk_measure?oldid=1096752785&ns=0
page length (characters) of wiki page	4723 (xsd:nonNegativeInteger)
foaf:isPrimaryTopicOf	wikipedia-en:Entropic_risk_measure
is Link from a Wikipage to another Wikipage of	List of financial performance measures Entropic value at risk Coherent risk measure Time consistency (finance) Utility Expected utility hypothesis Exponential utility Risk measure
is foaf:primaryTopic of	wikipedia-en:Entropic_risk_measure

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