Relative Entropy Criterion and CAPM-Like Pricing

DOI10.1007/978-3-319-32543-9_19zbMath1407.91240OpenAlexW2490116953MaRDI QIDQ4606785

S. Z. Xanthopoulos

Publication date: 9 March 2018

Published in: Trends in Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-32543-9_19

zbMATH Keywords

equivalent martingale measureincomplete marketCAPMminimal relative entropy criterion

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42) Financial applications of other theories (91G80) Portfolio theory (91G10)

Cites Work

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