An Entropy-Based Approach to Portfolio Optimization

This paper presents an improved method of applying entropy as a risk in portfolio optimization. A new family of portfolio optimization problems called the return-entropy portfolio optimization (REPO) is introduced that simplifies the computation of portfolio entropy using a combinatorial approach. R...

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Detalles Bibliográficos
Autores principales: Mercurio, Peter Joseph, Wu, Yuehua, Xie, Hong
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2020
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7516790/
https://www.ncbi.nlm.nih.gov/pubmed/33286106
http://dx.doi.org/10.3390/e22030332

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7516790/
https://www.ncbi.nlm.nih.gov/pubmed/33286106
http://dx.doi.org/10.3390/e22030332

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