On risk measures, market making, and exponential families.
SIGecom Exchanges(2015)
摘要
In this note we elaborate on an emerging connection between three areas of research: (a) the concept of a risk measure developed within financial mathematics for reasoning about risk attitudes of agents under uncertainty, (b) the design of automated market makers for prediction markets, and (c) the family of probability distributions known as exponential families.
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关键词
exponential family
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