Remark on the Paper "Entropic Value-at-Risk: A New Coherent Risk Measure" by Amir Ahmadi-Javid, J. Opt. Theory and Appl., 155 (2001),1105--1123

TL;DR

This paper discusses the entropic value-at-risk, a coherent risk measure, providing additional insights and relating it to commonotone risk measures within the broader risk management framework.

Contribution

It offers commentary on the entropic value-at-risk and connects it to existing commonotone risk measures using general theory.

Findings

Establishes a relation between entropic value-at-risk and commonotone risk measures.

Provides theoretical insights into the properties of entropic value-at-risk.

Enhances understanding of coherent risk measures in risk management.

Abstract

The paper mentioned in the title introduces the entropic value at risk. I give some extra comments and using the general theory make a relation with some commonotone risk measures.