An information-theoretic approach to constructing coherent risk measures

Amir Ahmadi-Javid. An information-theoretic approach to constructing coherent risk measures. In Alexander Kuleshov, Vladimir Blinovsky, Anthony Ephremides, editors, 2011 IEEE International Symposium on Information Theory Proceedings, ISIT 2011, St. Petersburg, Russia, July 31 - August 5, 2011. pages 2125-2127, IEEE, 2011. [doi]

Abstract

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