• DOI:10.2139/ssrn.303302
Corpus ID: 55261128

Connections between Entropic and Linear Projections in Asset Pricing Estimation

@article{Stutzer2002ConnectionsBE,
  title={Connections between Entropic and Linear Projections in Asset Pricing Estimation},
  author={Michael J. Stutzer and Y. Kitamura},
  journal={Econometrics eJournal},
  year={2002}
}

Michael J. Stutzer, Y. Kitamura

Published 2002

Economics

Econometrics eJournal

The concept of entropy has a long and distinguished history in the physical sciences and engineering, in fields ranging from thermodynamics to image processing. Each of these applications employs a probability distribution that solves a relative entropy projection problem, i.e. an optimization problem with an entropy objective, subject to linear (e.g. moment) constraints. This paper develops the relationship between relative entropy projection approaches and the better-known linear projection… CONTINUE READING

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