Showing 1 - 10 of 25
Persistent link: https://www.econbiz.de/10005194632
Persistent link: https://www.econbiz.de/10005201341
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...
Persistent link: https://www.econbiz.de/10004971768
Persistent link: https://www.econbiz.de/10008533760
Persistent link: https://www.econbiz.de/10003344314
Persistent link: https://www.econbiz.de/10003291320
Persistent link: https://www.econbiz.de/10003291352
Persistent link: https://www.econbiz.de/10005878621
Persistent link: https://www.econbiz.de/10007030919
Persistent link: https://www.econbiz.de/10001779822