The Effect of Exit Time and Entropy on Asset Performance Evaluation

The Effect of Exit Time and Entropy on Asset Performance Evaluation

The objective of this study is to evaluate assets’ performance by considering the exit time within the risk measurement framework alongside Shannon entropy and, alternatively, excluding these factors, which can be used to create a portfolio aligned with short- or long-term objectives. This portfolio...

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Bibliographic Details
Main Authors: Mohammad Ghasemi Doudkanlou, Prokash Chandro, Shokoofeh Banihashemi
Format: Article
Language:English
Published: MDPI AG 2023-08-01
Series:Entropy
Subjects:
portfolio performance evaluation
data envelopment analysis
Shannon entropy
stop strategy
risk management
CVaR
Online Access:https://www.mdpi.com/1099-4300/25/9/1252

Internet

https://www.mdpi.com/1099-4300/25/9/1252

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