Entropy based risk measures
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Publication:2183329
DOI10.1016/j.ejor.2019.01.016zbMath1441.91091arXiv1801.07220OpenAlexW2964128834MaRDI QIDQ2183329
Ruben Schlotter, Alois Pichler
Publication date: 26 May 2020
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1801.07220
Statistical methods; risk measures (91G70) Stochastic programming (90C15) Measures of information, entropy (94A17) Risk models (general) (91B05)
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