Entropic information theory applied to uncertainty in financial markets
One of the most popular concepts used to measure the risk and the uncertainty is the variance and/or the standard-deviation. In this paper we explore the potentialities of the entropy as a measure of uncertainty in financial markets, and simultaneously verify if this measure take into account some b...
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| Other Authors: | , |
| Format: | article |
| Language: | por |
| Published: |
2012
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| Subjects: | |
| Online Access: | http://hdl.handle.net/10174/6084 |
| Country: | Portugal |
| Oai: | oai:dspace.uevora.pt:10174/6084 |
| Summary: | One of the most popular concepts used to measure the risk and the uncertainty is the variance and/or the standard-deviation. In this paper we explore the potentialities of the entropy as a measure of uncertainty in financial markets, and simultaneously verify if this measure take into account some basic assumptions of the portfolio management theory, namely the effect of diversification. |
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