Entropy analysis of portfolio solutions

Abstract

Purpose: to develop a model for the entropy of a portfolio group in the stock market and use it in portfolio analysis of investment opportunities. Discussion: the actual direction of mathematical modeling of economic processes is their research through methods of system analysis, in particular, methods of entropic modeling. Entropy is the basis for the development of any systems in an economy with probabilistic behavior. Authors believe that the use of entropy in the modeling of economic processes in general and investment processes in particular is not currently formalized and, as a rule, is of a qualitative nature. Results: the article contains the developed model of entropy of a portfolio group in the stock market on the basis of the differential entropy model of a multidimensional stochastic system. Actors established that the value of the entropy of the portfolio solution simultaneously characterizes both the certainty of the portfolio group and its uncertainty