Acceso al sitio web del Consejo de Políticas de Infraestructura

   
ARTÍCULO
TITULO

The Maximum Entropy Principle and the Modern Portfolio Theory

Ailton Cassetari    

Resumen

In this work, a capital allocation methodology base don the Principle of Maximum Entropy was developed. The Shannons entropy is used as a measure, concerning the Modern Portfolio Theory, are also discuted. Particularly, the methodology is tested making a systematic comparison to: 1) the mean-variance (Markovitz) approach and 2) the mean VaR approach (capital allocations based on the Value at Risk concept). In principle, such confrontations show the plausibility and effectiveness of the developed method.

PÁGINAS
pp. pp. 271 - 300
MATERIAS
ECONOMÍA

 Artículos similares

       
 
Djulwini Fred Dachi, Hevalda Eppa, Muthmainnah Muthmainnah     Pág. 323 - 329
As a distributor company CV. MAKMUR needs to use information technology not only for selling its products but also in warehouse inventory management, where there is no longer recording and calculating inventory using Microsoft Excel, where there are seve... ver más

 
Tamal Datta Chaudhuri,Indranil Ghosh     Pág. 229 - 251
In this paper, we propose an alternative approach to understanding the relationship between financial sector development and real sector growth in India. We use stock market sectoral indices available on National Stock Exchange (NSE) like Capital Goods I... ver más

 
Baker Akram Falah Jarah, Mufleh Amin AL Jarrah, Murad Ali Ahmad Al-Zaqeba and Mefleh Faisal Mefleh Al-Jarrah    
The purpose of this study is to look into the role of internal audit (IA) in reducing the effects of creative accounting (CA) on financial statement reliability in Jordanian Islamic Banks. The research study used the survey methodology to examine the rol... ver más

 
Muneer E. Hassan,Riaan Wessels    
AbstractOrientation: The Income Tax Act has tax consequences for both the debtor and the creditor when a debt is waived as a result of a concession or compromise. This article focuses on the income tax implications for the debtor.Research purpose: Even t... ver más

 
Kateryna Boichenko, ?tefan Cristian Gherghina, António Abreu, Mário Nuno Mata and José Moleiro Martins    
The development of an enterprise under current conditions requires an integrated approach and an appropriate financing system. The purpose of this study is to justify the replication model of financing the integrated enterprise development. The research ... ver más