HUANG, JINGGANG; SANDOW, SVEN; FRIEDMAN, CRAIG - In: International Journal of Theoretical and Applied … 09 (2006) 03, pp. 373-400
In the incomplete market setting, we define a generalized Kullback-Leibler relative entropy in terms of an investor's expected utility. We motivate, from an economic point of view, this quantity — the relative U-entropy. Relative U-entropy measures the discrepancy from a set of pricing...