Search Results - subject:"Relative Entropy"

From data to decisions : distributionally robust optimization is optimal

Parys, Bart P. G. van; Mohajerin Esfahani, Peyman; … - In: Management science : journal of the Institute for … 67 (2021) 6, pp. 3387-3402

Persistent link: https://www.econbiz.de/10012606903

Many-objective flow shop scheduling optimisation with genetic algorithm based on fuzzy sets

Xu, Wen-Jie; He, Li-Jun; Zhu, Guang-Yu - In: International journal of production research 59 (2021) 3, pp. 702-726

Persistent link: https://www.econbiz.de/10012484607

A normalized value for information purchases

Cabrales, Antonio; Gossner, Olivier; Serrano, Roberto - 2017 - Available online 19 May 2017

Persistent link: https://www.econbiz.de/10012199893

Extreme risk interdependence

Polanski, Arnold; Stoja, Evarist - 2016

We define tail interdependence as a situation where extreme outcomes for some variables are informative about such outcomes for other variables. We extend the concept of multiinformation to quantify tail interdependence, decompose it into systemic and residual interdependence and measure the...

Persistent link: https://www.econbiz.de/10011984795

Recovering the most entropic copulas from preliminary knowledge of dependence

Chu, Ba; Satchell, Stephen - In: Econometrics 4 (2016) 2, pp. 1-21

This paper provides a new approach to recover relative entropy measures of contemporaneous dependence from limited …

Persistent link: https://www.econbiz.de/10011755325

Extreme risk interdependence

Polanski, Arnold; Stoja, Evarist - 2016

Persistent link: https://www.econbiz.de/10011974915

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

Analytical path-integral pricing of deterministic moving-barrier options under non-gaussian distributions

Catalão, André; Rosenfeld, Rogério - In: International journal of theoretical and applied finance 23 (2020) 1, pp. 1-52

Persistent link: https://www.econbiz.de/10012270883

An ambiguous manager's disruption decisions with insufficient data in recovery phase

Bao, Xing; Diabat, Ali; Zheng, Zhongliang - In: International journal of production economics 221 (2020), pp. 1-10

Persistent link: https://www.econbiz.de/10012232917

Combining survey long-run forecasts and nowcasts with BVAR forecasts using relative entropy

Tallman, Ellis W.; Zaman, Saeed - In: International journal of forecasting 36 (2020) 2, pp. 373-398

Persistent link: https://www.econbiz.de/10012414806

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