21 citations · 41 across the 3 of their papers we have counts for
3 papers
q-fin.ST2007★ 6 cited
Entropy and Uncertainty Analysis in Financial Markets
Andreia Dionisio, Rui Menezes, Diana A. Mendes
The investor is interested in the expected return and he is also concerned about the risk and the uncertainty assumed by the investment. One of the most popular concepts used to me…
q-fin.ST2007★ 14 cited
Utility function estimation: the entropy approach
Andreia Dionisio, A. Heitor Reis
The maximum entropy principle can be used to assign utility values when only partial information is available about the decision maker's preferences. In order to obtain such utilit…
cond-mat.stat-mech2006★ 21 cited
On the integrated behaviour of non-stationary volatility in stock markets
Andreia Dionisio, Rui Menezes, Diana A. Mendes
This paper analyses the behaviour of volatility for several international stock market indexes, namely the SP 500 (USA), the Nikkei (Japan), the PSI 20 (Portugal), the CAC 40 (Fran…