Tuesday, August 1, 2017

Prove Subadditivity - Entropic Value at Risk


Any insight in how to prove the following risk measure is subadditive? ρ1α(X)=infz>0{z1ln(E[ezX]α)}, with α]0,1]


I want to prove it is a coherent risk measure and already proved monotonicity, positive-homogeneity and translation invariance.





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