English, Article edition: Theory of portfolio and risk based on incremental entropy Jianshe Ou

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/30812
Physical Description
  • article
Language
  • English

Edition details

Title
  • Theory of portfolio and risk based on incremental entropy
Author
  • Jianshe Ou
Physical Description
  • article
Notes
  • Purpose – To develop a new theory of portfolio and risk based on incremental entropy and Markowitz's theory. Design/​methodology/​approach – Replacing arithmetic, the mean return adopted by M.H. Markowitz, with geometric mean return as a criterion for assessing a portfolio, one gets incremental entropy: one of the generalized entropies. It indicates that the incremental speed of capital is a more objective and testable criterion. Findings – The difference between the new theory based on incremental entropy and Markowitz's theory is that the new theory emphasizes that there is an objectively optimal portfolio for given probability of returns. Originality/​value – This paper provides some formulas for optimizing portfolio allocations. Based on the new portfolio theory, this paper also presents a new measure of information value, analyzes the differences and similarities between this measure and K.J. Arrow's measure of information value, and discusses how to optimize forecasts with the new measure.
  • Optimization techniques, Portfolio theory, Risk management
  • RePEc:eme:jrfpps:v:6:y:2005:i:1:p:31-39
Language
  • English
Contributed by
OAIster

Get this edition

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment