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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...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
MDPI
2020
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| 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 |