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Search: subject:"Relative Entropy"
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Messung
relative entropy
47
Entropy
44
Entropie
43
Relative entropy
36
Theorie
27
Theory
27
Risiko
15
Risk
15
Risikomaß
9
Risk measure
9
Bayes-Statistik
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Bayesian inference
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Incomplete market
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Kullback-Leibler divergence
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Option pricing theory
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Optionspreistheorie
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Decision under uncertainty
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Robust statistics
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Robustes Verfahren
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incomplete markets
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Entscheidung unter Unsicherheit
6
Measurement
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Portfolio selection
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Relative Entropy
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Stochastic process
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Stochastischer Prozess
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Blackwell ordering
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Minimal entropy martingale measure
5
Risikomanagement
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Risk management
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Schätzung
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Unvollkommener Markt
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Economics of information
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English
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Rudloff, Birgit
2
Ararat, Çağin
1
Ararat, Çağın
1
Bignozzi, Valeria
1
Breuer, Thomas
1
Csiszár, Imre
1
Hamel, Andreas
1
Laeven, Roger J. A.
1
Macci, Claudio
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Petrella, Lea
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Stadje, Mitja
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Trivellato, Barbara
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International journal of theoretical and applied finance
2
Insurance / Mathematics & economics
1
Journal of banking & finance
1
Mathematics and financial economics
1
Mathematics of operations research
1
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ECONIS (ZBW)
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1
Dual representations for systemic risk measures
Ararat, Çağın
;
Rudloff, Birgit
- In:
Mathematics and financial economics
14
(
2020
)
1
,
pp. 139-174
Persistent link: https://www.econbiz.de/10012239989
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2
Large deviations for risk measures in finite mixture models
Bignozzi, Valeria
;
Macci, Claudio
;
Petrella, Lea
- In:
Insurance / Mathematics & economics
80
(
2018
),
pp. 84-92
Persistent link: https://www.econbiz.de/10011872915
Saved in:
3
Set-valued shortfall and divergence risk measures
Ararat, Çağin
;
Hamel, Andreas
;
Rudloff, Birgit
- In:
International journal of theoretical and applied finance
20
(
2017
)
5
,
pp. 1-48
Persistent link: https://www.econbiz.de/10011733939
Saved in:
4
Entropy coherent and entropy convex measures of risk
Laeven, Roger J. A.
;
Stadje, Mitja
- In:
Mathematics of operations research
38
(
2013
)
2
,
pp. 265-293
Persistent link: https://www.econbiz.de/10009751526
Saved in:
5
Systematic stress tests with entropic plausibility constraints
Breuer, Thomas
;
Csiszár, Imre
- In:
Journal of banking & finance
37
(
2013
)
5
,
pp. 1552-1559
Persistent link: https://www.econbiz.de/10009729051
Saved in:
6
The minimal k-entropy martingale measure
Trivellato, Barbara
- In:
International journal of theoretical and applied finance
15
(
2012
)
5
,
pp. 1-22
Persistent link: https://www.econbiz.de/10009672603
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