Maximizing Portfolio Diversification via Weighted Shannon Entropy: Application to the Cryptocurrency Market
This paper develops a robust portfolio optimization framework that integrates Weighted Shannon Entropy (WSE) into the classical mean–variance paradigm, offering a distribution-free approach to diversification suited for volatile and heavy-tailed markets. While traditional variance-based models are h...
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| Autors principals: | , |
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| Format: | Artigo |
| Idioma: | Inglês |
| Publicat: |
MDPI AG
2025-12-01
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| Col·lecció: | Risks |
| Matèries: | |
| Accés en línia: | https://www.mdpi.com/2227-9091/13/12/253 |
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