| Article ID: | iaor20128235 |
| Volume: | 155 |
| Issue: | 3 |
| Start Page Number: | 1124 |
| End Page Number: | 1128 |
| Publication Date: | Dec 2012 |
| Journal: | Journal of Optimization Theory and Applications |
| Authors: | Ahmadi-Javid A |
| Keywords: | risk |
This short addendum consists of two sections. The first provides proofs that were omitted in Ahmadi‐Javid (2012) for the sake of brevity, and also demonstrates that the dual representation of the entropic value‐at‐risk, which is given in Ahmadi‐Javid (2012) for the case of bounded random variables, holds for all random variables whose moment‐generating functions exist everywhere. The second section provides a few corrections.