orlicz hearts and spaces – Optimization Online

An Analytical Study of Norms and Banach Spaces Induced by the Entropic Value-at-Risk

Published: 2017/03/26, Updated: 2017/07/28

Finance and Economics, Robust Optimization, Stochastic Programming ^p$ spaces, coherent risk measures, donsker--varadhan variational formula, dual representation, kullback-leibler divergence, kusuoka representation, large deviations, moment and cumulant generating functions, orlicz and luxemburg norms, orlicz hearts and spaces, relative entropy

This paper addresses the Entropic Value-at-Risk (EVaR), a recently introduced coherent risk measure. It is demonstrated that the norms induced by EVaR induce the same Banach spaces, irrespective of the confidence level. Three spaces, called the primal, dual, and bidual entropic spaces, corresponding with EVaR are fully studied. It is shown that these spaces equipped … Read more