One of the most popular concepts used to measure the risk and the uncertainty is the variance and/or the standard-deviation. In this paper we explore the potentialities of the entropy as a measure of uncertainty in financial markets, and simultaneously verify if this measure take into account some basic assumptions of the portfolio management theory, namely the effect of diversification
In asset allocation problem, the distribution of the assets is usually assumed to be known in order ...
This article proposes a new coherent risk measure called iso-entropic risk measure, which is based o...
conference for helpful comments. David Faulkner’s detailed revision of this paper greatly improves i...
In recent years there has been a closer interrelationship between several scientific areas trying to...
<div><p>We investigate entropy as a financial risk measure. Entropy explains the equity premium of s...
We investigate entropy as a financial risk measure. Entropy explains the equity premium of securitie...
In recent years there has been a closer interrelationship between several scientific areas trying t...
In recent years there has been a closer interrelationship between several scientific areas trying to...
Ever since modern portfolio theory was introduced by Harry Markowitz in 1952, a plethora of papers h...
We give a survey of the basic statistical ideas underlying the definition of entropy in information ...
In this thesis, we investigate the properties of entropy as an alternative measure of risk. Entropy ...
This paper systematically investigates the properties of six kinds of entropy-based risk measures: I...
This paper systematically investigates the properties of six kinds of entropy-based risk measures: I...
A well-interpretable measure of information has been recently proposed based on a partition obtained...
AbstractThe application of entropy in finance can be regarded as the extension of information entrop...
In asset allocation problem, the distribution of the assets is usually assumed to be known in order ...
This article proposes a new coherent risk measure called iso-entropic risk measure, which is based o...
conference for helpful comments. David Faulkner’s detailed revision of this paper greatly improves i...
In recent years there has been a closer interrelationship between several scientific areas trying to...
<div><p>We investigate entropy as a financial risk measure. Entropy explains the equity premium of s...
We investigate entropy as a financial risk measure. Entropy explains the equity premium of securitie...
In recent years there has been a closer interrelationship between several scientific areas trying t...
In recent years there has been a closer interrelationship between several scientific areas trying to...
Ever since modern portfolio theory was introduced by Harry Markowitz in 1952, a plethora of papers h...
We give a survey of the basic statistical ideas underlying the definition of entropy in information ...
In this thesis, we investigate the properties of entropy as an alternative measure of risk. Entropy ...
This paper systematically investigates the properties of six kinds of entropy-based risk measures: I...
This paper systematically investigates the properties of six kinds of entropy-based risk measures: I...
A well-interpretable measure of information has been recently proposed based on a partition obtained...
AbstractThe application of entropy in finance can be regarded as the extension of information entrop...
In asset allocation problem, the distribution of the assets is usually assumed to be known in order ...
This article proposes a new coherent risk measure called iso-entropic risk measure, which is based o...
conference for helpful comments. David Faulkner’s detailed revision of this paper greatly improves i...