Measuring systematic and specific risk: Approach mean-entropy
| Autor: | Imen Mahmoud, Kamel Naoui |
|---|---|
| Rok vydání: | 2017 |
| Předmět: |
Deviation risk measure
0209 industrial biotechnology Actuarial science Financial risk General Engineering Specific risk 02 engineering and technology Entropic value at risk Standard deviation 020901 industrial engineering & automation Statistics 0202 electrical engineering electronic engineering information engineering Economics Portfolio Capital asset pricing model Entropy (information theory) 020201 artificial intelligence & image processing |
| Zdroj: | Asian Journal of Empirical Research. 7:42-60 |
| ISSN: | 2224-4425 2306-983X |
| DOI: | 10.18488/journal.1007/2017.7.3/1007.3.42.60 |
| Popis: | Our main objective in this paper is to revisit Markowitz’s (1952) mean-variance approach by applying Shannon Entropy as an alternative measure of financial risk. We studied 33 randomly selected stocks of the Tunis Stock Exchange, representing the daily values of the Tunindex over a period of 8 years. The obtained results indicate that entropy behaves in a similar way to standard deviation, as it decreases depending on the number of stocks held in a portfolio. Likewise, Sharpe single-index model was reinterpreted under entropy theory where total risk is divided into systematic and non-systematic risk. Then, standard measures like standard deviation or beta seem to be inadequate to assess risk and uncertainty. Consequently, entropy offers an ideal alternative to identify investment-related risk. |
| Databáze: | OpenAIRE |
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