Entropy based risk measures

Alois Pichler and Ruben Schlotter

European Journal of Operational Research, 2020, vol. 285, issue 1, 223-236

Abstract: Entropy is a measure of self-information which is used to quantify information losses. Entropy was developed in thermodynamics, but is also used to compare probabilities based on their deviating information content. Corresponding model uncertainty is of particular interest and importance in stochastic programming and its applications like mathematical finance, as complete information is not accessible or manageable in general.

Keywords: Risk measures; Rearrangement inequalities; Stochastic dominance; Dual representation (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:285:y:2020:i:1:p:223-236

DOI: 10.1016/j.ejor.2019.01.016

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