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  • Search: subject:"Relative entropy"
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Year of publication
Subject
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Entropy 51 relative entropy 51 Entropie 50 Relative entropy 37 Theorie 30 Theory 30 Risiko 19 Risk 19 CAPM 9 Portfolio selection 9 Portfolio-Management 9 Robust statistics 9 Robustes Verfahren 9 Bayes-Statistik 8 Bayesian inference 8 Incomplete market 8 Kullback-Leibler divergence 8 Decision under uncertainty 7 Measurement 7 Messung 7 Option pricing theory 7 Optionspreistheorie 7 Risikomaß 7 Risk measure 7 incomplete markets 7 Entscheidung unter Unsicherheit 6 Relative Entropy 6 Risikomanagement 6 Risk management 6 Stochastic process 6 Stochastischer Prozess 6 Blackwell ordering 5 Erwartungsnutzen 5 Expected utility 5 Martingal 5 Martingale 5 Minimal entropy martingale measure 5 Unvollkommener Markt 5 Capital income 4 Economics of information 4
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Online availability
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Undetermined 63 Free 45 CC license 3
Type of publication
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Article 83 Book / Working Paper 34 Other 1
Type of publication (narrower categories)
All
Article in journal 35 Aufsatz in Zeitschrift 35 Working Paper 18 Graue Literatur 12 Non-commercial literature 12 Arbeitspapier 11 Article 4 Conference paper 3 Konferenzbeitrag 3 Aufsatz im Buch 2 Book section 2 Hochschulschrift 1
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Language
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English 70 Undetermined 48
Author
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Aebi, Robert 8 Neusser, Klaus 8 Steiner, Peter 8 Cabrales, Antonio 5 Gossner, Olivier 5 Serrano, Roberto 5 Schweizer, Martin 4 Breuer, Thomas 3 Csiszár, Imre 3 Devolder, Pierre 3 Dhaene, Jan 3 Georgiadis, Georgios 3 Hansen, Lars Peter 3 Hu, Ju 3 Kim, Michael Jong 3 Macci, Claudio 3 Müller, Gernot J. 3 Polanski, Arnold 3 Sargent, Thomas J. 3 Schumann, Ben 3 Stadje, Mitja 3 Stassen, Ben 3 Stoja, Evarist 3 Vellekoop, Michel 3 Amendinger, Jürgen 2 Baker, Christopher 2 Clarke, Bertrand 2 Ehling, Paul 2 Eilat, Ran 2 Eliaz, Kfir 2 FRIEDMAN, CRAIG 2 Feng, Yu 2 HUANG, JINGGANG 2 Heyerdahl-Larsen, Christian 2 Imkeller, Peter 2 Kim, Young 2 Laeven, Roger J. A. 2 Lee, Jeong 2 Mashalaba, Qaphela 2 Mavuso, Melusi 2
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Institution
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Department Volkswirtschaftlehre, Universität Bern 3 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 2 Brown University, Department of Economics 1 Departamento de Economía, Universidad Carlos III de Madrid 1 Department of Economics and Finance Research and Teaching, Institut für Höhere Studien (IHS) 1 Department of Economics, University of Pennsylvania 1 Eberhard Karls Universität Tübingen 1 Henley Business School, University of Reading 1 London School of Economics (LSE) 1 Society for Economic Dynamics - SED 1 Tilburg University, Center for Economic Research 1 Tinbergen Instituut 1
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Published in...
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Physica A: Statistical Mechanics and its Applications 10 Finance and Stochastics 4 Journal of economic theory 4 Statistics & Probability Letters 4 Annals of the Institute of Statistical Mathematics 3 Diskussionsschriften 3 International Journal of Theoretical and Applied Finance (IJTAF) 3 International journal of theoretical and applied finance 3 Management science : journal of the Institute for Operations Research and the Management Sciences 3 Stochastic Processes and their Applications 3 Annals of Economics and Finance 2 Insurance / Mathematics & economics 2 Mathematics and financial economics 2 Mathematics of operations research 2 Operations research 2 Risks : open access journal 2 SFB 373 Discussion Paper 2 SFB 373 Discussion Papers 2 Swiss Journal of Economics and Statistics (SJES) 2 2006 Meeting Papers 1 Advanced modelling in mathematical finance : in honour of Ernst Eberlein 1 Applied Mathematical Finance 1 Asia-Pacific Journal of Operational Research (APJOR) 1 Bank of Japan working paper series 1 Computational Statistics 1 Decisions in economics and finance : DEF ; a journal of applied mathematics 1 Discussion Paper / Tilburg University, Center for Economic Research 1 Discussion paper / Tinbergen Institute 1 Discussion papers / CEPR 1 Documentos de trabajo / Banco de España 1 ECB Working Paper 1 ESRB Working Paper Series 1 Econometric reviews 1 Econometrics 1 Economics Series / Department of Economics and Finance Research and Teaching, Institut für Höhere Studien (IHS) 1 Economics Working Papers / Departamento de Economía, Universidad Carlos III de Madrid 1 Eurasian Academy Of Sciences Social Sciences Journal 1 European journal of operational research : EJOR 1 Federal Reserve Bank of Cleveland working paper series 1 ICMA Centre Discussion Papers in Finance 1
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Source
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RePEc 55 ECONIS (ZBW) 50 EconStor 11 BASE 1 Other ZBW resources 1
Showing 31 - 40 of 118
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Twisted probabilities, uncertainty, and prices
Hansen, Lars Peter; Szőke, Bálint; Han, Lloyd S.; … - In: Journal of econometrics 216 (2020) 1, pp. 151-174
Persistent link: https://www.econbiz.de/10012439662
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Disagreement about inflation and the yield curve
Ehling, Paul; Gallmeyer, Michael; Heyerdahl-Larsen, … - 2015
Este trabajo muestra cómo las discrepancias en torno a la inflación esperada abren una brecha entre las rentabilidades reales y nominales y elevan sus niveles y volatilidades. Se demuestra empíricamente que un incremento de estas discrepancias en una desviación estándar aumenta las...
Persistent link: https://www.econbiz.de/10012530490
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MEASURING SURPRISE WITH RELATIVE ENTROPY
Gürsakal, Sevda; MURAT, Dilek; GÜRSAKAL, Necmi - In: Eurasian Academy Of Sciences Social Sciences Journal 2 (2015) 2, pp. 10-21
using relative entropy concept and discusses the various implications of this measurement. …
Persistent link: https://www.econbiz.de/10011266307
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Extreme risk interdependence
Polanski, Arnold; Stoja, Evarist - 2015
Persistent link: https://www.econbiz.de/10011402815
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Disagreement about inflation and the yield curve
Ehling, Paul; Gallmeyer, Michael F.; Heyerdahl-Larsen, … - 2015
Persistent link: https://www.econbiz.de/10011795825
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A linear goal programming method to recover risk neutral probabilities from options prices by maximum entropy
Vilar Zanón, José Luis; Peraita‑Ezcurra, Olivia - In: Decisions in economics and finance : DEF ; a journal of … 42 (2019) 1, pp. 259-276
Persistent link: https://www.econbiz.de/10012065216
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The Minimal Entropy Martingale Measure in a Market of Traded Financial and Actuarial Risks
Dhaene, Jan; Stassen, Ben; Devolder, Pierre; Vellekoop, … - 2014
'to the physical probability measure P, where closeness is measured in terms of relative entropy. In this paper, we determine …
Persistent link: https://www.econbiz.de/10010491335
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The Minimal Entropy Martingale Measure in a Market of Traded Financial and Actuarial Risks
Dhaene, Jan; Stassen, Ben; Devolder, Pierre; Vellekoop, … - Tinbergen Instituut - 2014
’to the physical probability measure P, where closeness is measured in terms of relative entropy. In this paper, we determine …
Persistent link: https://www.econbiz.de/10011255788
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The minimal entropy martingale measure in a market of traded financial and actuarial risks
Dhaene, Jan; Stassen, Ben; Devolder, Pierre; Vellekoop, … - 2014
" to the physical probability measure P, where closeness is measured in terms of relative entropy. In this paper, we …
Persistent link: https://www.econbiz.de/10010391547
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Global Portfolio Optiomization Revisted: A Least Discrimination Alternative to Black-Litterman
Pezier, Jacques - Henley Business School, University of Reading - 2007
Global portfolio optimization models rank among the proudest achievements of modern finance theory, but practitioners are still struggling to put them to work. In 1992, Black and Litterman put the problem down to difficulties portfolio managers have in extrapolating views about some expected...
Persistent link: https://www.econbiz.de/10005558332
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