Maximum entropy analysis of consumption-based capital asset pricing model and volatility (Q2661313)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Maximum entropy analysis of consumption-based capital asset pricing model and volatility |
scientific article |
Statements
Maximum entropy analysis of consumption-based capital asset pricing model and volatility (English)
0 references
7 April 2021
0 references
maximum entropy (ME)
0 references
information theory
0 references
stock return and consumption growth
0 references
CCAPM theoretical constraint
0 references
ME mean regression function
0 references
ME variance regression function
0 references
