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20062025
most citedPortfolio optimization in incomplete markets and price constraints determined by maximum entropy in the mean

2 citations · 5 across the 20 of their papers we have counts for

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math.ST2015

Sample dependence in the maximum entropy solution to the generalized moment problem

Henryk Gzyl

The method of maximum entropy is quite a powerful tool to solve the generalized moment problem, which consists of determining the probability density of a random variable X from th…