Entropy Coherent and Entropy Convex Measures of Risk

Roger Laeven and Mitja Stadje ()

No 2011-031, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: Multiple priors; Variational and homothetic preferences; Robustness; Convex risk measures; Exponential utility; Relative entropy; Translation invariance; Convexity; Indifference valuation (search for similar items in EconPapers)
Date: 2011
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