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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
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