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Measuring distribution model risk. Veröffentlichungsdatum Web: 9 October 2013

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Author:Thomas Breuer, Imre Csiszar
Parent Title (English):Mathematical Finance
Document Type:Article
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)
Publicationlist:Breuer, Thomas