Entropy Augmented Asset Pricing Model: Study on Indian Stock Market
Author:
Publisher
Springer Science and Business Media LLC
Subject
Finance
Link
https://link.springer.com/content/pdf/10.1007/s10690-023-09407-w.pdf
Reference67 articles.
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2. Ahmadi-Javid, A., & Fallah-Tafti, M. (2019). Portfolio optimization with entropic value-at-risk. European Journal of Operational Research, 279(1), 225–241.
3. Ang, A., Hodrick, R. J., Xing, Y., & Zhang, X. (2006). The cross-section of volatility and expected returns. Journal of Finance, 61(1), 259–299.
4. Ang, A., Liu, J., & Schwarz, K. (2019). Using stocks or portfolios in tests of factor models. Journal of Financial and Quantitative Analysis. https://doi.org/10.1017/S0022109019000255
5. Ardakani, O. M. (2022). Option pricing with maximum entropy densities: The inclusion of higher-order moments. Journal of Futures Markets., 42(10), 1821–1836.
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