Entropic Value-at-Risk (EVaR)
A coherent tail risk measure that gives a tighter upper bound on extreme losses than CVaR.
Category: Optimizer & Performance
What is Entropic Value-at-Risk (EVaR)?
EVaR uses the moment generating function and Chernoff bounds. It is always greater than or equal to CVaR, more sensitive to extreme tails, and is convex so it can be solved efficiently.