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http://hdl.handle.net/10174/6084
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| Title: | Entropic information theory applied to uncertainty in financial markets |
| Authors: | Dionísio, Andreia
Menezes, Rui
Mendes, Diana |
| Editors: | Dionísio, Andreia
Heitor Reis, António
Namorado Rosa, Rui |
| Keywords: | Entropy
Mutual Information
Uncertainty
Financial Markets |
| Issue Date: | 2006 |
| Publisher: | Universidade de Évora |
| Citation: | Dionísio, A., Menezes, R. e Mendes, D. (2006.) Entropic information theory applied to uncertainty in financial markets in Proceedings of the Workshop Perspectives on Econophysics, editado por Andreia Dionísio, A. Heitor Reis e Rui N. Rosa, Universidade de Évora. |
| Abstract: | 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. |
| URI: | http://hdl.handle.net/10174/6084 |
| ISBN: | 244676/06 |
| Type: | article |
| Appears in Collections: | CEFAGE - Artigos em Livros de Actas/Proceedings
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CEFAGE - Centro de Estudos e Formação Avançada em Gestão e Economia /
CEFAGE - Artigos em Livros de Actas/Proceedings /
