Applications of entropy in finance: a review

DOI10.3390/E15114909zbMATH Open1422.91673OpenAlexW1998017597MaRDI QIDQ280721FDOQ280721

Authors: Rongxi Zhou, Ru Cai, Guanqun Tong 

Publication date: 10 May 2016

Published in: Entropy (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3390/e15114909

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zbMATH Keywords

entropyapplicationsfinanceportfolio selectionasset pricingprinciple of maximum entropy

Mathematics Subject Classification ID

Portfolio theory (91G10) Measures of information, entropy (94A17) Financial applications of other theories (91G80)

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Cited In (26)

• An incremental-hybrid-Yager's entropy model for dynamic portfolio selection with fuzzy variable
• Portfolio optimization based on generalized information theoretic measures
• Entropy augmented asset pricing model: study on Indian stock market
• Two maxentropic approaches to determine the probability density of compound risk losses
• Rao's quadratic entropy and maximum diversification indexation
• Entropy of chemical processes versus numerical representability of orderings
• Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction
• Elliptic entropy of uncertain random variables with application to portfolio selection
• Massively parallel processing of recursive multi-period portfolio models
• Tail risk constraints and maximum entropy
• On cumulative residual extropy of coherent and mixed systems
• Rényi entropy of fuzzy dynamical systems
• High frequency trading and stock index returns: a nonlinear dynamic analysis
• Weighted negative cumulative extropy with application in testing uniformity
• A portfolio optimization model based on information entropy and fuzzy time series
• Minimum Rényi entropy portfolios
• Information content of liquidity and volatility measures
• Multiobjective portfolio optimization of ARMA-GARCH time series based on experimental designs
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• Entropy based robust portfolio
• The relative entropy in CGMY processes and its applications to finance
• Calibration of the risk-neutral density function by maximization of a two-parameter entropy
• Financial portfolios based on Tsallis relative entropy as the risk measure
• Shannon's Entropy and Its Generalisations Towards Statistical Inference in Last Seven Decades
• A survey on the mathematical foundations of axiomatic entropy: representability and orderings
• Unifying entropies of quantum logic based on Rényi entropies

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