Measuring distribution model risk. Veröffentlichungsdatum Web: 9 October 2013
Author: | Thomas Breuer, Imre Csiszar |
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DOI: | https://doi.org/10.1111/mafi.12050 |
ISSN: | 1467-9965 |
Parent Title (English): | Mathematical Finance |
Document Type: | Article |
Language: | English |
Year of publication: | 2016 |
Release Date: | 2018/11/22 |
Tag: | Bregman distance; Multiple priors; Relative entropy; convex integral functional; divergence preferences; f-divergence; generalized exponential family; maximum entropy principle |
Volume: | 26. Jg. |
Issue: | H. 2 |
First Page: | 395 |
Last Page: | 411 |
Organisationseinheit: | Technik / Department of Computer Science (Ende 2021 aufgelöst; Integration in die übergeordnete OE Technik) |
Technik / Technik | Engineering & Technology | |
Publicationlist: | Breuer, Thomas |