Entropy augmented asset pricing model: study on Indian stock market

DOI10.1007/S10690-023-09407-WzbMATH Open1542.91382MaRDI QIDQ6563701FDOQ6563701

Authors: Harshit Mishra, Parama Barai 

Publication date: 27 June 2024

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

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zbMATH Keywords

Shannon entropycapital asset pricing modelaggregate market riskpriced risk factor

Mathematics Subject Classification ID

Financial markets (91G15)

Cites Work

• A Mathematical Theory of Communication
• Common risk factors in the returns on stocks and bonds
• A Test of the Efficiency of a Given Portfolio
• Portfolio optimization with entropic value-at-risk
• Directional entropy and tail uncertainty, with applications to financial hazard
• Simple entropic derivation of a generalized Black-Scholes option pricing model
• A simple robust asset pricing model under statistical ambiguity
• Modeling the flow of information between financial time-series by an entropy-based approach

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