MEASURING DISTRIBUTION MODEL RISK
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Publication:2800000
DOI10.1111/mafi.12050zbMath1348.91290OpenAlexW1946361304MaRDI QIDQ2800000
Publication date: 14 April 2016
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: http://real.mtak.hu/44216/1/BreuerCsiszar_ModelRisk_v9_17052013_u.pdf
relative entropymaximum entropy principleBregman distancemultiple priors\(f\)-divergenceconvex integral functionaldivergence preferencesgeneralized exponential family
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