Tail risk constraints and maximum entropy

DOI10.3390/E17063724zbMath1338.62023arXiv1412.7647OpenAlexW1506373683WikidataQ56456020 ScholiaQ56456020MaRDI QIDQ296373

Nassim Nicholas Taleb, Hélyette Geman, Donald Geman

Publication date: 15 June 2016

Published in: Entropy (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1412.7647

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10)

Related Items (1)

An energy-based measure for long-run horizon risk quantification

Cites Work

• Applications of entropy in finance: a review
• A maximum entropy method for a robust portfolio problem
• Mutual fund separation in financial theory - the separating distributions
• Nonextensive statistical mechanics and economics
• THE JOINT DISTRIBUTION OF STOCK RETURNS IS NOT ELLIPTICAL
• LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES
• Competitive Optimality of Logarithmic Investment
• Growth Versus Security in Dynamic Investment Analysis
• Optimal Gambling Systems for Favorable Games
• The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets

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