Search Results - subject:"relative entropy"

Portfolio optimization beyond utility maximization : the case of driftless markets

Večeř, Jan; Richard, Mark; Taylor, Stephen - In: The European journal of finance 31 (2025) 3, pp. 318-347

Persistent link: https://www.econbiz.de/10015325194

An information-theoretic asset pricing model

Ghosh, Anisha; Julliard, Christian; Taylor, Alex P. - In: Journal of financial econometrics 23 (2025) 1, pp. 1-40

Persistent link: https://www.econbiz.de/10015339156

Minimal entropy and entropic risk measures : a unified framework via relative entropy

Sohns, Moritz - In: Risks : open access journal 13 (2025) 4, pp. 1-27

We introduce a new coherent risk measure, the minimal-entropy risk measure, which is built on the minimal-entropy 𝜎-martingale measure - a concept inspired by the well-known minimal-entropy martingale measure used in option pricing. While the minimal-entropy martingale measure is commonly...

Persistent link: https://www.econbiz.de/10015408397

Online monitoring of policy optimality

Bjarni G. Einarsson - 2024

Persistent link: https://www.econbiz.de/10015193659

Risk, ambiguity, and misspecification : decision theory, robust control, and statistics

Hansen, Lars Peter; Sargent, Thomas J. - In: Journal of applied econometrics 39 (2024) 6, pp. 969-999

Persistent link: https://www.econbiz.de/10015156812

Oscillatory equilibrium in asymmetric evolutionary games : generalizing evolutionarily stable strategy

Dubey, Vikash Kumar; Chakraborty, Suman; Chakraborty, Sagar - In: Dynamic games and applications : DGA 15 (2025) 5, pp. 1536-1563

Persistent link: https://www.econbiz.de/10015515462

Efficient implementation of interior-point methods for quantum relative entropy

Karimi, Mehdi; Tunçel, Levent - In: INFORMS journal on computing : JOC ; charting new … 37 (2025) 1, pp. 3-21

Persistent link: https://www.econbiz.de/10015434023

Estimation and test of a simple model of robust capital asset pricing : an info-metrics approach

García-Feijóo, Luis; Viale, Ariel M. - In: International review of finance : the official journal … 24 (2024) 2, pp. 213-235

Persistent link: https://www.econbiz.de/10014575523

Copper-to-gold ratio as a leading indicator for the 10-Year Treasury yield

Parnes, Dror - In: The North American journal of economics and finance : a … 69 (2024) 1, pp. 1-20

Persistent link: https://www.econbiz.de/10014445532

Quantifying the model risk inherent in the calibration and recalibration of option pricing models

Feng, Yu; Rudd, Ralph; Baker, Christopher; Mashalaba, … - In: Risks : open access journal 9 (2021) 1/13, pp. 1-20

the model assumptions). In this context, we use relative entropy as a pre-metric in order to quantify these two sources of …

Persistent link: https://www.econbiz.de/10012422987