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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| Format: | Article |
| Language: | English |
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Brazilian Society of Finance
2003-12-01
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| Series: | Revista Brasileira de Finanças |
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| Online Access: | http://virtualbib.fgv.br/ojs/index.php/rbfin/article/view/1131 |
| _version_ | 1828814651194867712 |
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| author | Ailton Cassetari |
| author_facet | Ailton Cassetari |
| author_sort | Ailton Cassetari |
| collection | DOAJ |
| description | 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-variance (Markovitz) approach and 2) the mean VaR approach (capital allocations based on the Value at Risk concept). In principle, such confrontations show the plausibility and effectiveness of the developed method. |
| first_indexed | 2024-12-12T10:27:24Z |
| format | Article |
| id | doaj.art-f2b4ef697c8e42b58d9a54ae2e5190d9 |
| institution | Directory Open Access Journal |
| issn | 1679-0731 1984-5146 |
| language | English |
| last_indexed | 2024-12-12T10:27:24Z |
| publishDate | 2003-12-01 |
| publisher | Brazilian Society of Finance |
| record_format | Article |
| series | Revista Brasileira de Finanças |
| spelling | doaj.art-f2b4ef697c8e42b58d9a54ae2e5190d92022-12-22T00:27:26ZengBrazilian Society of FinanceRevista Brasileira de Finanças1679-07311984-51462003-12-0112271300The Maximum Entropy Principle and the Modern Portfolio TheoryAilton CassetariIn 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-variance (Markovitz) approach and 2) the mean VaR approach (capital allocations based on the Value at Risk concept). In principle, such confrontations show the plausibility and effectiveness of the developed method.http://virtualbib.fgv.br/ojs/index.php/rbfin/article/view/1131asset alocationportfolio optimizationrisk measures |
| spellingShingle | Ailton Cassetari The Maximum Entropy Principle and the Modern Portfolio Theory Revista Brasileira de Finanças asset alocation portfolio optimization risk measures |
| title | The Maximum Entropy Principle and the Modern Portfolio Theory |
| title_full | The Maximum Entropy Principle and the Modern Portfolio Theory |
| title_fullStr | The Maximum Entropy Principle and the Modern Portfolio Theory |
| title_full_unstemmed | The Maximum Entropy Principle and the Modern Portfolio Theory |
| title_short | The Maximum Entropy Principle and the Modern Portfolio Theory |
| title_sort | maximum entropy principle and the modern portfolio theory |
| topic | asset alocation portfolio optimization risk measures |
| url | http://virtualbib.fgv.br/ojs/index.php/rbfin/article/view/1131 |
| work_keys_str_mv | AT ailtoncassetari themaximumentropyprincipleandthemodernportfoliotheory AT ailtoncassetari maximumentropyprincipleandthemodernportfoliotheory |