The entropy principle yields, for a given set of moments, a density that involves the smallest amount of prior information. We first show how entropy densities may be constructed in a numerically efficient way as the minimization of a potential. Next, for the case where the first four moments...

Recent portfolio choice, asset pricing, and option valuation models highlight the importance of skewness and kurtosis. Since skewness and kurtosis are related to extreme variations, they are also important for Value-at-Risk measurements. Our framework builds on a GARCH model with a conditional...