FIELD NOTES TOPIC
value-at-risk
1 note, newest first.
Robust Risk Under Evolving Uncertainty: A Wasserstein Counterpart of the Entropic Value-at-Risk
The authors propose a new risk measure called Wasserstein Entropic Value-at-Risk (WEVaR). This measure is designed to help an agent navigate uncertain environments by being cautious when it's unsure and bold when it's…
