Entropy Coherent and Entropy Convex Measures of Risk
Year of publication: |
2011
|
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Authors: | Stadje, Mitja ; Laeven, R.J.A. |
Institutions: | Tilburg University, Center for Economic Research |
Subject: | Multiple priors | Variational and homothetic preferences | Robustness | Convex risk measures | Exponential utility | Relative entropy | Translation invariance | Convexity | Indifference valuation |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series CentER Discussion Paper Number 2011-031 |
Classification: | D81 - Criteria for Decision-Making under Risk and Uncertainty ; G10 - General Financial Markets. General ; G20 - Financial Institutions and Services. General |
Source: |
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