A View on Extension of Utility-Based on Links with Information Measures

Title & Authors
A View on Extension of Utility-Based on Links with Information Measures

Abstract
In this paper, we review the utility-based generalization of the Shannon entropy and Kullback-Leibler information measure as the U-entropy and the U-relative entropy that was introduced by Friedman et al. (2007). Then, we derive some relations between the U-relative entropy and other information measures based on a parametric family of utility functions.
Keywords
Shannon entropy;Kullback-Leibler information measure;utility function;expected utility maximization;U-entropy;U-relative entropy;
Language
English
Cited by
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