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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| Materyal Türü: | Makale |
| Dil: | English |
| Baskı/Yayın Bilgisi: |
Brazilian Society of Finance
2003-12-01
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| Seri Bilgileri: | Revista Brasileira de Finanças |
| Konular: | |
| Online Erişim: | http://virtualbib.fgv.br/ojs/index.php/rbfin/article/view/1131 |