$CVaR$, which is short for Conditional Value-at-Risk, has long been accepted by both academe and practice as a good coherent risk measure. Entropic value-at-risk ($EVaR$) is a comparative new coherent risk measure compared to $CVaR$. 

What is the advantages of $EVaR$ over $CVaR$? Or in what situation, $EVaR$ would perform better than $CVaR$?

Here $EVaR$ is defined as,
$$
\text{EVaR}\_{1-\alpha}(X) := \inf\_{z>0}\{z^{-1}ln(M\_{X}(z))/\alpha\}= \inf\_{z>0}\{z^{-1}ln(e^{-z\*X}/\alpha\}.
$$

Ahmadi-Javid, Amir. "Entropic value-at-risk: A new coherent risk measure." Journal of Optimization Theory and Applications 155.3 (2012): 1105-1123.

<https://link.springer.com/article/10.1007%2Fs10957-011-9968-2>