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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...
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| Autor principal: | |
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| Formato: | Artigo |
| Lenguaje: | Inglês |
| Publicado: |
Brazilian Society of Finance
2003-12-01
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| Colección: | Revista Brasileira de Finanças |
| Materias: | |
| Acceso en línea: | http://virtualbib.fgv.br/ojs/index.php/rbfin/article/view/1131 |
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