Never a Dull Moment: Entropy Risk in Commodity Markets
作者： Fousseni Chabi-Yo , Hitesh Doshi , Virgilio Zurita
DOI: 10.2139/SSRN.3300843
关键词:
摘要: We develop a new approach to determine investors' risk compensations for all distributional moments of security. Using the concept entropy, summary risky security, we derive relationship between expected returns and their compensation entropy risk. Entropy premium (ERP), difference under physical risk-neutral measures, indicates cost financially hedge against changes in risks associated with entire return distribution. find that ERP carries significant predictive power cross-section commodity even after removing its variance, skewness kurtosis components.
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