We obtain the maximum entropy distribution for an asset from call and digital option prices. A rigorous mathematical proof of its existence and exponential form is given, which can also be applied to legitimise a formal derivation by Buchen and Kelly. We give a simple and robust algorithm for...

A prototype multi-purpose index is proposed for use in the evaluation of practices for adaptation to climate variability and change. The Index of Usefulness of Practices for Adaptation (IUPA) allows the user to assign weights and scores to a set of user-defined evaluation criteria. Individual...

We combine forward investment performance processes and ambiguity averse portfolio selection. We introduce the notion of robust forward criteria which addresses the issues of ambiguity in model specification and in preferences and investment horizon specification. It describes the evolution of...