Portfolio Optimization for Binary Options Based on Relative Entropy

The portfolio optimization problem generally refers to creating an investment portfolio or asset allocation that achieves an optimal balance of expected risk and return. These portfolio returns are traditionally assumed to be continuous random variables. In An Entropy-Based Approach to Portfolio Opt...

Descripción completa

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/PMC7517297/
https://www.ncbi.nlm.nih.gov/pubmed/33286524
http://dx.doi.org/10.3390/e22070752

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7517297/
https://www.ncbi.nlm.nih.gov/pubmed/33286524
http://dx.doi.org/10.3390/e22070752

Ejemplares similares