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Abstract

Open Access Biostatistics & Bioinformatics

Maximum Entropy Risk Model for Investment Management

  • 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

DOI: 10.31031/OABB.2020.03.000554

ISSN 2578-0247
Volume3 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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