The Maximum Entropy Principle and the Modern Portfolio Theory

In this work, a capital allocation methodology base don the Principle of Maximum Entropy was developed. The Shannons entropy is used as a measure, concerning the Modern Portfolio Theory, are also discuted. Particularly, the methodology is tested making a systematic comparison to: 1) the mean-varianc...

Fuld beskrivelse

Na minha lista:
Bibliografiske detaljer
Hovedforfatter: Ailton Cassetari
Format: Artigo
Sprog:Inglês
Udgivet: Brazilian Society of Finance 2003-12-01
Serier:Revista Brasileira de Finanças
Fag:
asset alocation
portfolio optimization
risk measures
Online adgang:http://virtualbib.fgv.br/ojs/index.php/rbfin/article/view/1131
Tags: Tilføj Tag
Ingen Tags, Vær først til at tagge denne postø!

Lignende værker