Never a Dull Moment: Entropy Risk in Commodity Markets
本文提出用熵（所有分布矩的汇总）来衡量投资者对证券所有分布矩的风险补偿，发现熵风险溢价对大宗商品横截面收益有显著解释力，且不同于单个或组合矩的信息。
Abstract We develop a new approach to determine investors’ risk compensations for all distributional moments of a security. Using the concept of entropy, which is a summary of all moments of a risky security, we derive the relationship between expected returns and their compensation for entropy risk. Entropy risk premium (ERP), which is entropy under the physical minus the risk-neutral measure, indicates the hedging cost against changes in risks associated with all moments of the return’s distribution. Applying our model to the commodity markets, we find that ERP carries economically significant information for the cross-section of returns that is different from individual or combined moments. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.