Extreme events and entropy: a multiple quantile utility model

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Publication:648372


DOI10.1016/j.ijar.2011.05.005zbMath1233.91094MaRDI QIDQ648372

Marcello Basili, Alain Chateauneuf

Publication date: 22 November 2011

Published in: International Journal of Approximate Reasoning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ijar.2011.05.005


91G70: Statistical methods; risk measures

91B16: Utility theory

91G10: Portfolio theory


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