Entropic information theory applied to uncertainty in financial markets
| dc.contributor.author | Dionísio, Andreia | |
| dc.contributor.author | Menezes, Rui | |
| dc.contributor.author | Mendes, Diana | |
| dc.contributor.editor | Dionísio, Andreia | |
| dc.contributor.editor | Heitor Reis, António | |
| dc.contributor.editor | Namorado Rosa, Rui | |
| dc.date.accessioned | 2012-11-29T11:56:37Z | |
| dc.date.available | 2012-11-29T11:56:37Z | |
| dc.date.issued | 2006 | |
| dc.description.abstract | One of the most popular concepts used to measure the risk and the uncertainty is the variance and/or the standard-deviation. In this paper we explore the potentialities of the entropy as a measure of uncertainty in financial markets, and simultaneously verify if this measure take into account some basic assumptions of the portfolio management theory, namely the effect of diversification. | por |
| dc.identifier.authoremail | andreia@uevora.pt | |
| dc.identifier.authoremail | rui.menezes@iscte.pt | |
| dc.identifier.authoremail | diana.mendes@iscte.pt | |
| dc.identifier.citation | Dionísio, A., Menezes, R. e Mendes, D. (2006.) Entropic information theory applied to uncertainty in financial markets in Proceedings of the Workshop Perspectives on Econophysics, editado por Andreia Dionísio, A. Heitor Reis e Rui N. Rosa, Universidade de Évora. | por |
| dc.identifier.isbn | 244676/06 | |
| dc.identifier.scientificarea | 637 | por |
| dc.identifier.uri | http://hdl.handle.net/10174/6084 | |
| dc.language.iso | por | por |
| dc.peerreviewed | yes | por |
| dc.publisher | Universidade de Évora | por |
| dc.rights | openAccess | por |
| dc.subject | Entropy | por |
| dc.subject | Mutual Information | por |
| dc.subject | Uncertainty | por |
| dc.subject | Financial Markets | por |
| dc.title | Entropic information theory applied to uncertainty in financial markets | por |
| dc.type | article | por |
| degois.publication.firstPage | 23 | por |
| degois.publication.lastPage | 34 | por |
| degois.publication.location | Universidade de Évora | por |
| degois.publication.title | Perspectives on Econophysics | por |
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