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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)
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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 41 - 50 of 118
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Optimal stopping under uncertainty in drift and jump intensity
Krätschmer, Volker; Ladkau, Marcel; Laeven, Roger J. A.; … - In: Mathematics of operations research 43 (2018) 4, pp. 1177-1209
Persistent link: https://www.econbiz.de/10011956978
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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
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Bayesian credibility for GLMs
Xacur, Oscar Alberto Quijano; Garrido, José - In: Insurance / Mathematics & economics 83 (2018), pp. 180-189
Persistent link: https://www.econbiz.de/10011944127
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The appeal of information transactions
Cabrales, Antonio; Gossner, Olivier; Serrano, Roberto - 2012
's preferences for information. The index of information transactions has a simple analytic characterization in terms of the relative … entropy from priors to posteriors, and it also connects naturally with a recent index of riskiness. …
Persistent link: https://www.econbiz.de/10010420275
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The Appeal of Information Transactions
Cabrales, Antonio; Gossner, Olivier; Serrano, Roberto - Brown University, Department of Economics - 2012
's preferences for information. The index of information transactions has a simple analytic characterization in terms of the relative … entropy from priors to posteriors, and it also connects naturally with a recent index of riskiness. …
Persistent link: https://www.econbiz.de/10011196577
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The Appeal of Information Transactions
Cabrales, Antonio; Gossner, Olivier; Serrano, Roberto - Departamento de Economía, Universidad Carlos III de Madrid - 2012
’s preferences for information. The index of information transactions has a simple analytic characterization in terms of the relative … entropy from priors to posteriors, and it also connects naturally with a recent index of riskiness. …
Persistent link: https://www.econbiz.de/10010570903
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An analytical study of norms and Banach spaces induced by the entropic value-at-risk
Ahmadi-Javid, Amir; Pichler, Alois - In: Mathematics and financial economics 11 (2017) 4, pp. 527-550
Persistent link: https://www.econbiz.de/10011900598
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A normalized value for information purchases
Cabrales, Antonio; Gossner, Olivier; Serrano, Roberto - In: Journal of economic theory 170 (2017), pp. 266-288
Persistent link: https://www.econbiz.de/10011776968
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Portfolio analysis using stochastic dominance, relative entropy, and empirical likelihood
Post, Thierry; Potì, Valerio - In: Management science : journal of the Institute for … 63 (2017) 1, pp. 153-165
Persistent link: https://www.econbiz.de/10011646360
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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
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