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Entropy-Based Financial Asset Pricing
We investigate entropy as a financial risk measure. Entropy explains the equity premium of securities and portfolios in a simpler way and, at the same time, with higher explanatory power than the beta parameter of the capital asset pricing model. For asset pricing we define the continuous entropy as...
| Autores principales: | , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Public Library of Science
2014
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4278763/ https://www.ncbi.nlm.nih.gov/pubmed/25545668 http://dx.doi.org/10.1371/journal.pone.0115742 |