In this work, we show that the entropic value at risk (EVaR), which is not a dynamic risk measure in general, can be a finitely-valued dynamic risk measure for at least one scenario. Specifically, for any distribution where the moment generating function (mgf) exists, then there exists a confidence parameter such that EVaR can be a finitely-valued dynamic risk measure. This separates EVaR from other risk measures, such as the value at risk (VaR), which may not be a finitely-valued dynamic risk for any allowable constant confidence parameter value. This result is not unique to EVaR, as we also show that there exists a confidence parameter such that the average value at risk (AVaR)–which does not require the mgf to exist–is also a finite dynamic risk measure. The main focus of this work is EVaR as it has a stronger stochastic ordering guarantee than AVaR. Future work will examine whether EVaR can be a dynamic risk measure for any other cases.

Original languageEnglish (US)
Title of host publicationAIAA Scitech 2019 Forum
PublisherAmerican Institute of Aeronautics and Astronautics Inc, AIAA
ISBN (Print)9781624105784
StatePublished - 2019
EventAIAA Scitech Forum, 2019 - San Diego, United States
Duration: Jan 7 2019Jan 11 2019

Publication series

NameAIAA Scitech 2019 Forum


ConferenceAIAA Scitech Forum, 2019
Country/TerritoryUnited States
CitySan Diego

ASJC Scopus subject areas

  • Aerospace Engineering

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