On the Shortfall of Tail-Based Entropy and Its Application to Capital Allocation
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DOI: 10.3390/e27111153
Abstract: We introduce and study the shortfall of tail-based entropy (STE), a tail-sensitive risk functional that combines expected shortfall (ES) and tail-based entropy (TE). Beyond the tail mean, STE imposes a rank-dependent penalty on tail variability,… read more here.
Keywords: based entropy; shortfall; tail based; shortfall tail ... See more keywords