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翻訳と辞書　辞書検索 [ 開発暫定版 ] スポンサード リンク Minimal-entropy martingale measure ： ウィキペディア英語版 Minimal-entropy martingale measure In probability theory, the minimal-entropy martingale measure (MEMM) is the risk-neutral probability measure that minimises the entropy difference between the objective probability measure, $P$, and the risk-neutral measure, $Q$. In incomplete markets, this is one way of choosing a risk-neutral measure (from the infinite number available) so as to still maintain the no-arbitrage conditions. The MEMM has the advantage that the measure $Q$ will always be equivalent to the measure $P$ by construction. Another common choice of equivalent martingale measure is the minimal martingale measure, which minimises the variance of the equivalent martingale. For certain situations, the resultant measure $Q$ will not be equivalent to $P$. In a finite probability model, for objective probabilities $p\_i$ and risk-neutral probabilities $q\_i$ then one must minimise the Kullback–Leibler divergence $D\_(Q\backslash |P)\; =\; \backslash sum\_^N\; q\_i\; \backslash ln\backslash left(\backslash frac\backslash right)$ subject to the requirement that the expected return is $r$, where $r$ is the risk-free rate. == References == * M. Frittelli, Minimal Entropy Criterion for Pricing in One Period Incomplete Markets, Working Paper. University of Brescia, Italy (1995). 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Minimal-entropy martingale measure」の詳細全文を読む スポンサード リンク 翻訳と辞書 : 翻訳のためのインターネットリソース Copyright(C) kotoba.ne.jp 1997-2016. All Rights Reserved.