State-value weighted entropy as a measure of investment risk

Autor:	David N. Nawrocki, William H. Harding
Rok vydání:	1986
Předmět:	Economics and Econometrics Mathematical optimization Actuarial science Risk measure TheoryofComputation_GENERAL Data_CODINGANDINFORMATIONTHEORY Entropic value at risk Weighting Dynamic risk measure Spectral risk measure Economics Portfolio Entropy (information theory) Investment performance
Zdroj:	Applied Economics. 18:411-419
ISSN:	1466-4283 0003-6846
DOI:	10.1080/00036848600000038
Popis:	This paper explores a problem with the use of the entropy measure of investment performance. The commonly used entropy measure ignores the dispersion of security frequency classes used in the calculation of entropy. Therefore, state-value weighting of the entropy is proposed and tested using a portfolio selection heuristic algorithm. The results indicate that weighting the entropy value will increase the investment performance of the entropy risk measure.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::9d6e764d07789ec11aa92eb88eb7ce2b https://doi.org/10.1080/00036848600000038 Zobrazit plný text záznamu Plný text ve formátu PDF