A method for determining risk aversion functions from uncertain market prices of risk (Q661212): Difference between revisions
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| Property / full work available at URL: https://doi.org/10.1016/j.insmatheco.2010.03.011 / rank | |||
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| Property / OpenAlex ID: W2065368225 / rank | |||
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| Property / cites work: Solving Fredholm equations by maximum entropy on the mean. Application to superresolution / rank | |||
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| Property / cites work: Maximum entropy in the mean: A useful tool for constrained linear problems / rank | |||
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| Property / cites work: Determination of risk pricing measures from market prices of risk / rank | |||
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| Property / cites work: Normalized Exponential Tilting / rank | |||
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Latest revision as of 22:13, 4 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A method for determining risk aversion functions from uncertain market prices of risk |
scientific article |
Statements
A method for determining risk aversion functions from uncertain market prices of risk (English)
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10 February 2012
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distortion function
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spectral measures
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risk aversion function
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maximum entropy in the mean
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inverse problems for noisy data
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