Relative Entropy,Distortion Risk Measures and Their Functions in Financial Risk Measurement
HE Si-hui, Jiajun Li · Journal of Yanan University · 2004
By means of discussing relative entropy and its minimum process,The mechanics of finiancial market risk measurement were explored,The relative problems of techniques about risk management in finanical markets were studied.An identity therom between minimum relative entropy and distortional probability measurement was set up through entropy optimization postulate and the optimum techniques were searched out through using the distortion thansformation,which may be a useful technical method provided for finuncial markets risk management practice.