CONFRONTING MODEL MISSPECIFICATION IN FINANCE: TRACTABLE COLLECTIONS OF SCENARIO PROBABILITY MEASURES FOR ROBUST FINANCIAL OPTIMIZATION PROBLEMS

DOI10.1142/S0219024902001353zbMath1138.91442MaRDI QIDQ3022031

Craig Friedman

Publication date: 22 June 2005

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

entropyFinancemodel misspecificationrobust optimization problems

Mathematics Subject Classification ID

Design techniques (robust design, computer-aided design, etc.) (93B51)

Related Items

Robust measurement of (heavy-tailed) risks: theory and implementation ⋮ MEASURING DISTRIBUTION MODEL RISK

Cites Work

• Minimum-Relative-Entropy Calibration of Asset-Pricing Models
• WEIGHTED MONTE CARLO: A NEW TECHNIQUE FOR CALIBRATING ASSET-PRICING MODELS
• Managing the volatility risk of portfolios of derivative securities: the Lagrangian uncertain volatility model
• Calibrating volatility surfaces via relative-entropy minimization