Fat tails via utility-based entropy

Fat tails via utility-based entropy

rollercoaster

Practitioners and researchers concerned with describing and managing risk or discovering trading strategies for alpha-capture often construct and study conditional probabilistic models of the behaviour of asset returns, given the values of various explanatory variables. Some are interested in the probability distributions of single asset returns in their own right (see, for example, references cited in or Stoyanov et al, 2011). Others (see, for example, Jondeau & Rockinger, 2006) are more

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