A correspondence principle for relative entropy minimization
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Abstract
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DOI: 10.1002/1520-6750(199004)37:23.0.CO;2-C
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References listed on IDEAS
- Allan R. Sampson & Robert L. Smith, 1982. "Assessing Risks Through the Determination of Rare Event Probabilities," Operations Research, INFORMS, vol. 30(5), pages 839-866, October.
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Cited by:
- Anisha Ghosh & Christian Julliard & Alex P. Taylor, 2017.
"What Is the Consumption-CAPM Missing? An Information-Theoretic Framework for the Analysis of Asset Pricing Models,"
The Review of Financial Studies, Society for Financial Studies, vol. 30(2), pages 442-504.
- Ghosh, Anisha & Julliard, Christian & Taylor, Alex, 2011. "What is the Consumption-CAPM missing? An information-theoretic framework for the analysis of asset pricing models," LSE Research Online Documents on Economics 119061, London School of Economics and Political Science, LSE Library.
- Anisha Ghosh & Christian Julliard, 2011. "What is the Consumption-CAPM missing? An informative-Theoretic Framework for the Analysis of Asset Pricing Models," FMG Discussion Papers dp691, Financial Markets Group.
- Ghosh, Anisha & Julliard, Christian & Taylor, Alex. P, 2017. "What is the Consumption-CAPM missing? An information-theoretic framework for the analysis of asset pricing models," LSE Research Online Documents on Economics 65131, London School of Economics and Political Science, LSE Library.
- Ghosh, Anisha & Julliard, Christian & Taylor, Alex, 2016. "An information based one-factor asset pricing model," LSE Research Online Documents on Economics 118978, London School of Economics and Political Science, LSE Library.
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