Search Results (3)

Because of its flexibility and multiple meanings, the concept of information entropy in its continuous or discrete form has proven to be very relevant in numerous scientific branches. For example, it is used as a measure of disorder in thermodynamics, as a measure of uncertainty in statistical mechanics as well as in classical and quantum information science, as a measure of diversity in ecological structures and as a criterion for the classification of races and species in population dynamics. Orthogonal polynomials are a useful tool in solving and interpreting differential equations. Lately, this subject has been intensively studied in many areas. For example, in statistics, by using orthogonal polynomials to fit the desired model to the data, we are able to eliminate collinearity and to seek the same information as simple polynomials. In this paper, we consider the Tsallis, Kaniadakis and Varma entropies of Chebyshev polynomials of the first kind and obtain asymptotic expansions. In the particular case of quadratic entropies, there are given concrete computations. Full article

We consider a generalization of Awad–Shannon entropy, namely Awad–Varma entropy, introduce a stochastic order on Awad–Varma residual entropy and study some properties of this order, like closure, reversed closure and preservation in some stochastic models (the proportional hazard rate model, the proportional reversed hazard rate model, the proportional odds model and the record values model). Full article

It is well known that Markowitz’s mean-variance model is the pioneer portfolio selection model. The mean-variance model assumes that the probability density distribution of returns is normal. However, empirical observations on financial markets show that the tails of the distribution decay slower than the log-normal distribution. The distribution shows a power law at tail. The variance of a portfolio may also be a random variable. In recent years, the maximum entropy method has been widely used to investigate the distribution of return of portfolios. However, the mean and variance constraints were still used to obtain Lagrangian multipliers. In this paper, we use Conditional Value at Risk constraints instead of the variance constraint to maximize the entropy of portfolios. Value at Risk is a financial metric that estimates the risk of an investment. Value at Risk measures the level of financial risk within a portfolio. The metric is most commonly used by investment bank to determine the extent and occurrence ratio of potential losses in portfolios. Value at Risk is a single number that indicates the extent of risk in a given portfolio. This makes the risk management relatively simple. The Value at Risk is widely used in investment bank and commercial bank. It has already become an accepted standard in buying and selling assets. We show that the maximum entropy distribution with Conditional Value at Risk constraints is a power law. Algebraic relations between the Lagrangian multipliers and Value at Risk constraints are presented explicitly. The Lagrangian multipliers can be fixed exactly by the Conditional Value at Risk constraints. Full article