Distribution-Invariant Risk Measures, Entropy, and Large Deviations (Q5443699): Difference between revisions
From MaRDI portal
Latest revision as of 16:33, 27 June 2024
scientific article; zbMATH DE number 5238080
Language | Label | Description | Also known as |
---|---|---|---|
English | Distribution-Invariant Risk Measures, Entropy, and Large Deviations |
scientific article; zbMATH DE number 5238080 |
Statements
Distribution-Invariant Risk Measures, Entropy, and Large Deviations (English)
0 references
22 February 2008
0 references
risk measure
0 references
average value at risk
0 references
shortfall risk
0 references
Monte Carlo
0 references
large deviations principle
0 references
Sanov's theorem
0 references
relative entropy
0 references