Generalized entropy and model uncertainty

DOI10.1016/J.JET.2019.06.004MaRDI QIDQ2324804zbMATH OpenOpenAlexFDO

Authors Alexander Meyer-Gohde

Publication date 12 September 2019

Published in Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2017-017.pdf

zbMATH Keywords

equity premium puzzlemodel uncertaintyrecursive preferencesrobust controlTsallis entropy

Mathematics Subject Classification ID

Individual preferences (91B08) Utility theory (91B16) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Sensitivity (robustness) (93B35) Measures of information, entropy (94A17)

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Cites work

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• Ambiguity, learning, and asset returns
• Doubts and variability: a robust perspective on exotic consumption series
• Doubts or variability?
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• scientific article; zbMATH DE number 107482 (Why is no real title available?)
• Introduction to Nonextensive Statistical Mechanics
• Maxmin expected utility with non-unique prior
• Nonextensive statistical mechanics and economics
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• Robust estimation and control under commitment
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• The Pruned State-Space System for Non-Linear DSGE Models: Theory and Empirical Applications
• Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio

Cited in

(8)

• Regime-switching constrained viscosity solutions approach for controlling dam-reservoir systems
• Generalized entropic risk measures and related BSDEs
• Twisted probabilities, uncertainty, and prices
• scientific article; zbMATH DE number 4087585 (Why is no real title available?)
• The relationship between risk and incomplete states uncertainty: a Tsallis entropy perspective
• Pricing Principle via Tsallis Relative Entropy in Incomplete Markets
• Limit equations of adaptive Erlangization and their application to environmental management
• Cost-efficient monitoring of continuous-time stochastic processes based on discrete observations

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