Entropy maximization in finance

DOI10.1007/978-3-030-36568-4_18MaRDI QIDQ3298034zbMATH OpenOpenAlexFDO

Authors Jonathan M. Borwein, Qiji J. Zhu

Publication date 21 July 2020

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-030-36568-4_18

zbMATH Keywords

capital market pricing modelconvex dualityentropy maximizationfinancial mathematicsfundamental theorem of asset pricinghedgingMarkowitz portfolio theory

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Portfolio theory (91G10) Financial applications of other theories (91G80) Measures of information, entropy (94A17)

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Cites work

• A general version of the fundamental theorem of asset pricing
• A Martingale Representation Result and an Application to Incomplete Financial Markets
• A minimality property of the minimal martingale measure
• A variational approach to Lagrange multipliers
• Convex Analysis
• Convex analysis and nonlinear optimization. Theory and examples
• Convex analysis in financial mathematics
• Convex duality and financial mathematics
• Equivalent martingale measures and no-arbitrage
• Exponential Hedging and Entropic Penalties
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• scientific article; zbMATH DE number 3062467 (Why is no real title available?)
• Information Theory and Statistical Mechanics
• Martingales and arbitrage in multiperiod securities markets
• Martingales and stochastic integrals in the theory of continuous trading
• Probability Distributions of Assets Inferred from Option Prices via the Principle of Maximum Entropy
• Sparse calibrations of contingent claims
• Techniques of variational analysis

Cited in

(11)

• Connections between entropic and linear projections in asset pricing estimation
• The relative entropy in CGMY processes and its applications to finance
• Classical ergodicity and modern portfolio theory
• Applications of entropy in finance: a review
• scientific article; zbMATH DE number 5014850 (Why is no real title available?)
• THE ENTROPIC MARKET HYPOTHESIS
• scientific article; zbMATH DE number 1098902 (Why is no real title available?)
• MaxEnt-based explanation of why financial analysts systematically under-predict companies' performance
• scientific article; zbMATH DE number 7247655 (Why is no real title available?)
• Entropic Conditions and Hedging
• Computation and analysis for a constrained entropy optimization problem in finance

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