Minimal Entropy and Entropic Risk Measures: A Unified Framework via Relative Entropy
We introduce a new coherent risk measure, the minimal-entropy risk measure, which is built on the minimal-entropy <inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="inline"><semantics><mi>σ</mi></semantics></math>&l...
Saved in:
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2025-04-01
|
| Series: | Risks |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-9091/13/4/70 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|