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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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