Comparing Entropy and Beta as Measures of Risk in Asset Pricing
The paper establishes entropy as a measure of risk in asset pricing models by comparing its explanatory power with that of classic capital asset pricing model’s beta to describe the diversity in expected risk premiums. Three different non‑parametric estimation procedures are considered to evaluate f...
| Main Author: | |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Mendel University Press
2017-01-01
|
| Series: | Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis |
| Subjects: | |
| Online Access: | https://acta.mendelu.cz/65/6/1889/ |