INFORMATION, MODEL PERFORMANCE, PRICING AND TRADING MEASURES IN INCOMPLETE MARKETS

DOI10.1142/S0219024906003603zbMath1154.91448OpenAlexW3125369222MaRDI QIDQ5483444

Craig Friedman, Sven Sandow, Jinggang Huang

Publication date: 14 August 2006

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

Full work available at URL: https://doi.org/10.1142/s0219024906003603

zbMATH Keywords

entropyincomplete marketsexpected utilitystatistical learningpricing measuresmodel performance measureminimum relative entropy principal

Mathematics Subject Classification ID

Measures of information, entropy (94A17)

Cites Work

• Products of trees for investment analysis
• Minimum-Relative-Entropy Calibration of Asset-Pricing Models
• THE ENTROPY THEORY OF BOND OPTION PRICING
• Information Theory and Statistical Mechanics
• Martingale and Duality Methods for Utility Maximization in an Incomplete Market
• Portfolio choice and the Bayesian Kelly criterion
• MODEL PERFORMANCE MEASURES FOR EXPECTED UTILITY MAXIMIZING INVESTORS
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