Portfolio Optimization using the Entropic Value-at-Risk: An Investor Preference Approach
It is very important for an investor to choose an accurate and effective risk measure when optimizing a portfolio of different assets. Recently, in addition to the standard risk measures such as variance or Value-at-Risk (VaR), more developed risk measures have emerged and one of them is the entropic Value-at-Risk (EVaR). This paper is testing the hypothesis stated by Ahmadi-Javid and Fallah-Tafti