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Entropy and information in portfolio choice

 

作者: JATIK. SENGUPTA,  

 

期刊: International Journal of Systems Science  （Taylor Available online 1994）
卷期: Volume 25, issue 12  

页码: 2417-2424

 

ISSN:0020-7721

 

年代: 1994

 

DOI:10.1080/00207729408949362

 

出版商: Taylor & Francis Group

 

数据来源: Taylor

 

摘要:

The notion of entropy, which is known from information theory as a measure of uncertainty of the data on security returns, is used to illustrate by examples how the traditional optimal portfolio models may be suitably reformulated.

 

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