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...

Purpose – Investors often rely on probabilistic models that were learned from small historical labeled datasets. The purpose of this article is to propose a new method for data-efficient model learning. Design/methodology/approach – The proposed method, which is an extension of the standard...