Mixed strategy and information theory in optimal portfolio choice
作者:
JATIK. SENGUPTA,
期刊:
International Journal of Systems Science
(Taylor Available online 1989)
卷期:
Volume 20,
issue 2
页码: 215-227
ISSN:0020-7721
年代: 1989
DOI:10.1080/00207728908910121
出版商: Taylor & Francis Group
数据来源: Taylor
摘要:
By formulating the portfolio choice problem as a two-person zero-sum game, it is shown that a saddle point exists in mixed strategies where the pay-off function includes entropy as an information measure. The search for optimal strategies (pure or mixed), when the probabilities of states of nature are unknown leads to a whole new field of research which can be related to the recent theory of capital market efficiency.
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