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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Public Library of Science (PLoS)
2014-01-01
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| Series: | PLoS ONE |
| Online Access: | http://europepmc.org/articles/PMC4278763?pdf=render |