英文标题：
《Entropy-Based Financial Asset Pricing》
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作者：
Mihaly Ormos, David Zibriczky
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最新提交年份：
2015
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英文摘要：
We investigate entropy as a financial risk measure. Entropy explains the equity premium of securities and portfolios in a simpler way and, at the same time, with higher explanatory power than the beta parameter of the capital asset pricing model. For asset pricing we define the continuous entropy as an alternative measure of risk. Our results show that entropy decreases in the function of the number of securities involved in a portfolio in a similar way to the standard deviation, and that efficient portfolios are situated on a hyperbola in the expected return - entropy system. For empirical investigation we use daily returns of 150 randomly selected securities for a period of 27 years. Our regression results show that entropy has a higher explanatory power for the expected return than the capital asset pricing model beta. Furthermore we show the time varying behaviour of the beta along with entropy.
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中文摘要：
我们研究熵作为一种金融风险度量。熵以一种更简单的方式解释证券和投资组合的股权溢价，同时比资本资产定价模型的贝塔参数具有更高的解释力。对于资产定价，我们将连续熵定义为另一种风险度量。我们的结果表明，熵在一个投资组合中涉及的证券数量的函数中以类似于标准差的方式减少，并且有效的投资组合位于预期收益-熵系统中的双曲线上。在实证调查中，我们使用了随机选取的150种证券27年的日收益率。我们的回归结果表明，与资本资产定价模型beta相比，熵对预期收益具有更高的解释力。此外，我们还展示了β随熵的时变行为。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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