The returns of US stocks and Treasury bonds are usually positively correlated, or coupled.
As the stock market plunges, Treasury bonds tend to rally, and the daily returns become …

An informationally efficient price keeps investors as a group in the state of maximum uncertainty
about the next price change. The Entropy Pricing Theory (EPT) captures this intuition …

Information theory teaches that entropy is the fundamental limit for data compression, and
electrical engineers routinely use entropy as a criterion for efficient storage and transmission …

An informationally efficient price keeps investors as a group in the state of maximum uncertainty
about the next price change. The Entropy Pricing Theory (EPT) captures this intuition …

Do investors have to be rational for the market prices to be efficient? Statistical analysis of
the interest rate forecasts published in The Wall Street Journal since 1981 suggests that …

The thesis introduces the Entropy Pricing Theory (EPT). The EPT formalizes the Efficient
Market Hypothesis by focusing on market beliefs rather than on market prices--the prices are …

An informationally efficient price keeps investors as a group in the state of maximum uncertainty
about the next price change. The Entropy Pricing Theory (EFT) captures this intuition …

A financial market is complete if there exist contracts to insure against all possible eventualities.
First, complete markets are desirable because they enable producers, consumers, and …

… The lognormal, gamma, and beta models are obtained in the EPT framework (Gulko [1999,
2002]) and reviewed in this article. The models are designed for pricing European-style …

This paper studies the corporate financial policy of minimizing the risk of a large loss. The
implications of this policy are examined using a mean-variance risk model. The model creates …