A method for determining risk aversion functions from uncertain market prices of risk
type: Item
instance of: scholarly article
title: A method for determining risk aversion functions from uncertain market prices of risk
zbMATH Open document ID: 1231.91194
author: Henryk Gzyl
author: Silvia Mayoral
published in: Insurance Mathematics \& Economics
publication date: 2012-02-10T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 62P05
zbMATH DE Number: 6004734
zbMATH Keywords: distortion function
zbMATH Keywords: spectral measures
zbMATH Keywords: risk aversion function
zbMATH Keywords: maximum entropy in the mean
zbMATH Keywords: inverse problems for noisy data
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2010.03.011
OpenAlex ID: W2065368225
cites work: Solving Fredholm equations by maximum entropy on the mean. Application to superresolution
cites work: Maximum entropy in the mean: A useful tool for constrained linear problems
cites work: Determination of risk pricing measures from market prices of risk
cites work: Normalized Exponential Tilting
DOI: 10.1016/J.INSMATHECO.2010.03.011
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description: scientific article; zbMATH DE number 6004734