Abstract
The agenda of this chapter is a nonparametric approach that seeks a conceptual condensation of the partition entropy function, with two agendas in mind. The first continues on from previous themes of finding minimally descriptive measures for location, asymmetry and spread. The second associated agenda seeks a more far reaching decomposition, such that the total entropic spread could be regarded as generated by just two polar outcomes: ‘good and bad’ or ‘rich versus poor’. Illustrations follow to income distribution and to financial portfolio performance. Actuarial survival uncertainty can also be viewed in such terms.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
References
Ang, A., Chen, J., & Xing, Y. (2006). Downside risk. Review of Financial Studies, 19, 1191–1239.
Bawa, V. S., & Lindenberg, E. B. (1977). Capital market equilibrium in a mean-lower partial moment framework. Journal of Financial Economics, 5, 189–200.
Bowden, R. J. (2012). Information, measure shifts and distribution metrics. Statistics, A Journal of Theoretical and Applied Statistics, 46, 249–262.
Bowden, R. J. (2017). Distribution spread and location metrics using entropic separation. Statistics and Probability Letters, 124, 148–153.
Dittmar, R. F. (2002). Nonlinear pricing kernels, kurtosis preference, and evidence from the cross section of equity returns. Journal of Finance, 57, 369–404.
Harvey, C. R., & Siddique, A. (2000). Conditional skewness in asset pricing tests. Journal of Finance, 55, 1263–1295.
Kraus, A., & Litzenberger, R. (1976). Skewness preference and the valuation of risky assets. Journal of Finance, 31, 1085–1100.
Liang, B., & Park, H. (2010). Predicting hedge fund failure: A comparison of risk measures. Journal of Financial and Quantitative Analysis, 45, 199–222.
Stulz, R. (2007). Hedge funds: past, present, and future. Journal of Economic Perspectives, 21, 175–194.
Author information
Authors and Affiliations
Corresponding author
Rights and permissions
Copyright information
© 2018 Springer Nature Singapore Pte Ltd.
About this chapter
Cite this chapter
Bowden, R. (2018). Binary Perspectives for Spread and Asymmetry. In: The Information Theory of Comparisons. Springer, Singapore. https://doi.org/10.1007/978-981-13-1550-3_5
Download citation
DOI: https://doi.org/10.1007/978-981-13-1550-3_5
Published:
Publisher Name: Springer, Singapore
Print ISBN: 978-981-13-1549-7
Online ISBN: 978-981-13-1550-3
eBook Packages: Mathematics and StatisticsMathematics and Statistics (R0)