Entropy-Based Financial Asset Pricing

Source
Budapest University of Technology and Economics

This paper gives an alternative to the capital asset pricing model beta based on the entropy concept of statistical mechanics. This measure is shown to have a higher explanatory power than that used in the typical capital asset pricing model

Length of Resource
21 pages
Author
Mihaly Ormos, David Zibriczky
Date Published
Publication Type
Research Paper
Resource Type
academic

ResourceID: 177852

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