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- W2897215351 abstract "We introduce entropy coherent and entropy convex measures of risk and prove a collection of axiomatic characterization and duality results. We show in particular that entropy coherent and entropy convex measures of risk emerge as negative certainty equivalents in (the regular and a generalized version, respectively, of) the popular maxmin expected utility theory of Gilboa and Schmeidler [12] whenever the negative certainty equivalents are translation invariant. In addition, we derive the dual conjugate function for entropy coherent and entropy convex measures of risk, and prove their distribution invariant representation. Keywords: Robust preferences; Convex risk measures; Exponential utility; Relative entropy; Translation invariance; Convexity." @default.
- W2897215351 created "2018-10-26" @default.
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- W2897215351 date "2010-01-01" @default.
- W2897215351 modified "2023-09-26" @default.
- W2897215351 title "Entropy coherent and entropy convex measures of risk" @default.
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