The entropic value at risk (EVaR) is a coherent risk measure, developed to tackle some computational inefficiencies of the CVaR. It is the tightest possible upper bound for traditional VaR and CVaR, obtained from the Chernoff inequality. EVaR can also be represented by using the concept of relative entropy, better known in statistics as the Kullback-Leibler (...


Yes, you can check the paper Entropic Portfolio Optimization: a Disciplined Convex Programming Framework in SSRN.

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