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Notes on Cumulative Entropy as a Risk Measure

Notes on Cumulative Entropy as a Risk Measure AbstractDi Crescenzo and Longobardi[Di Crescenzo and Longobardi, On cumulative entropies,J. Statist. Plann. Inference 139 2009, 12, 4072–4087]proposed the cumulative entropy (CE) as an alternative to the differential entropy. They presented an estimator of CE using empirical approach. In this paper, we consider a risk measure based on CE and compare it with the standard deviation and the Gini mean difference for some distributions. We also make empirical comparisons of these measures using samples from stock market in members of the Organization for Economic Co-operation and Development (OECD) countries. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Economic Quality Control de Gruyter

Notes on Cumulative Entropy as a Risk Measure

Economic Quality Control , Volume 34 (1): 7 – Jun 1, 2019

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Publisher
de Gruyter
Copyright
© 2019 Walter de Gruyter GmbH, Berlin/Boston
ISSN
1869-6147
eISSN
2367-2404
DOI
10.1515/eqc-2018-0019
Publisher site
See Article on Publisher Site

Abstract

AbstractDi Crescenzo and Longobardi[Di Crescenzo and Longobardi, On cumulative entropies,J. Statist. Plann. Inference 139 2009, 12, 4072–4087]proposed the cumulative entropy (CE) as an alternative to the differential entropy. They presented an estimator of CE using empirical approach. In this paper, we consider a risk measure based on CE and compare it with the standard deviation and the Gini mean difference for some distributions. We also make empirical comparisons of these measures using samples from stock market in members of the Organization for Economic Co-operation and Development (OECD) countries.

Journal

Economic Quality Controlde Gruyter

Published: Jun 1, 2019

References