Entropic risk measure (English Wikipedia)

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Hyndman, Cody; Kratsios, Anastasis; Wang, Renjie (2020). "The entropic measure transform" (pdf). Canadian Journal of Statistics. 48: 97–129. arXiv:1511.06032. doi:10.1002/cjs.11537. S2CID 159089174.
Chong, Wing Fung; Hu, Ying; Liang, Gechun; Zariphopoulou, Thaleia (2019). "An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior". Finance and Stochastics. 23: 239–273. arXiv:1607.02289. doi:10.1007/s00780-018-0377-3. S2CID 16261697.

Hyndman, Cody; Kratsios, Anastasis; Wang, Renjie (2020). "The entropic measure transform" (pdf). Canadian Journal of Statistics. 48: 97–129. arXiv:1511.06032. doi:10.1002/cjs.11537. S2CID 159089174.
Chong, Wing Fung; Hu, Ying; Liang, Gechun; Zariphopoulou, Thaleia (2019). "An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior". Finance and Stochastics. 23: 239–273. arXiv:1607.02289. doi:10.1007/s00780-018-0377-3. S2CID 16261697.

Follmer, Hans; Schied, Alexander (October 8, 2008). "Convex and Coherent Risk Measures" (PDF). Retrieved July 22, 2010. {{cite journal}}: Cite journal requires |journal= (help)
Penner, Irina (2007). "Dynamic convex risk measures: time consistency, prudence, and sustainability" (PDF). Archived from the original (PDF) on July 19, 2011. Retrieved February 3, 2011. {{cite journal}}: Cite journal requires |journal= (help)

Rudloff, Birgit; Sass, Jorn; Wunderlich, Ralf (July 21, 2008). "Entropic Risk Constraints for Utility Maximization" (PDF). Archived from the original (PDF) on October 18, 2012. Retrieved July 22, 2010. {{cite journal}}: Cite journal requires |journal= (help)

Hyndman, Cody; Kratsios, Anastasis; Wang, Renjie (2020). "The entropic measure transform" (pdf). Canadian Journal of Statistics. 48: 97–129. arXiv:1511.06032. doi:10.1002/cjs.11537. S2CID 159089174.
Chong, Wing Fung; Hu, Ying; Liang, Gechun; Zariphopoulou, Thaleia (2019). "An ergodic BSDE approach to forward entropic risk measures: representation and large-maturity behavior". Finance and Stochastics. 23: 239–273. arXiv:1607.02289. doi:10.1007/s00780-018-0377-3. S2CID 16261697.

Rudloff, Birgit; Sass, Jorn; Wunderlich, Ralf (July 21, 2008). "Entropic Risk Constraints for Utility Maximization" (PDF). Archived from the original (PDF) on October 18, 2012. Retrieved July 22, 2010. {{cite journal}}: Cite journal requires |journal= (help)
Penner, Irina (2007). "Dynamic convex risk measures: time consistency, prudence, and sustainability" (PDF). Archived from the original (PDF) on July 19, 2011. Retrieved February 3, 2011. {{cite journal}}: Cite journal requires |journal= (help)

Hyndman, Cody; Kratsios, Anastasis; Wang, Renjie (2020). "The entropic measure transform" (pdf). Canadian Journal of Statistics. 48: 97–129. arXiv:1511.06032. doi:10.1002/cjs.11537. S2CID 159089174.