The minimal k-entropy martingale measure
Year of publication: |
2012
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Authors: | Trivellato, Barbara |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 15.2012, 5, p. 1-22
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Subject: | κ-exponential | relative κ-entropy | relative entropy | q-optimal martingale measure | incomplete markets | asset pricing | Unvollkommener Markt | Incomplete market | Martingal | Martingale | Entropie | Entropy | Theorie | Theory | CAPM | Messung | Measurement | Portfolio-Management | Portfolio selection |
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