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Abstract
Open Access Biostatistics & Bioinformatics
Maximum Entropy Risk Model for Investment Management
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Open or CloseDS Hooda*1 and Seema Singh2
1Honorary Professor in Mathematics, GJ University of Science & Technology, Hisar, India.
2O.R.M.D.U. University, Research Scholar, Department of Statistics, Rohtak, India
*Corresponding author:D S Hooda Honorary Professor in Mathematics, GJ University of Science & Technology, Hisar, India.
Submission: March 18, 2020; Published: July 10, 2020
ISSN 2578-0247Volume3 Issue1
Abstract
In the present communication Markowitz’s method of mean- variance efficient frontier has been explained. Some introductory entropy models and concepts related to risk in investments have been discussed. Risk aversion index and Pareto-optimal sharing of risk have been defined. A new measure of risk based on maximum entropy principle has been studied in detail. Mathematics Subject Classification 2000: 91b24 and 94a15.
Keywords:Risk- prone; Risk-averse; Hyper plane; Pareto- optimal sharing; Maximum entropy principle
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