Exponential Hedging and Entropic Penalties

Author:

Delbaen Freddy,Grandits Peter,Rheinlander Thorsten,Samperi Dominick,Schweizer Martin,Stricker Christophe

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Reference38 articles.

1. The Strong Ergodic Theorem for Densities: Generalized Shannon-McMillan-Breiman Theorem

2. D. Becherer (2001 ): Rational Hedging and Valuation with Utility-Based Preferences . Ph.D. Thesis, Technical University of Berlin.

3. F. Bellini, and M. Frittelli (2000 ): On the Existence of Minimax Martingale Measures . Preprint 14/2000, University of Milano-Bicocca.

4. The Entropic Penalty Approach to Stochastic Programming

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