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Option Portfolio Selection with Generalized Entropic Portfolio Optimization

In this third and final paper of our series on the topic of portfolio optimization, we introduce a further generalized portfolio selection method called generalized entropic portfolio optimization (GEPO). GEPO extends discrete entropic portfolio optimization (DEPO) to include intervals of continuous...

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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:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7517377/
https://www.ncbi.nlm.nih.gov/pubmed/33286576
http://dx.doi.org/10.3390/e22080805

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