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Maximum Varma Entropy Distribution with Conditional Value at Risk Constraints
It is well known that Markowitz’s mean-variance model is the pioneer portfolio selection model. The mean-variance model assumes that the probability density distribution of returns is normal. However, empirical observations on financial markets show that the tails of the distribution decay slower th...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
MDPI
2020
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7517197/ https://www.ncbi.nlm.nih.gov/pubmed/33286435 http://dx.doi.org/10.3390/e22060663 |