Tracking a Well Diversified Portfolio with Maximum Entropy in the Mean
In this work we address the following problem: Having chosen a well diversified portfolio, we show how to improve on its return, maintaining the diversification. In order to achieve this boost on return we construct a neighborhood of the well diversified portfolio and find a portfolio that maximizes...
Na minha lista:
| Principais autores: | , , |
|---|---|
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
MDPI AG
2022-02-01
|
| coleção: | Mathematics |
| Assuntos: | |
| Acesso em linha: | https://www.mdpi.com/2227-7390/10/4/557 |
| Tags: |
Sem tags, seja o primeiro a adicionar uma tag!
|