An Entropy-Based Approach to Portfolio Optimization
This paper presents an improved method of applying entropy as a risk in portfolio optimization. A new family of portfolio optimization problems called the return-entropy portfolio optimization (REPO) is introduced that simplifies the computation of portfolio entropy using a combinatorial approach. R...
Shranjeno v:
| Principais autores: | , , |
|---|---|
| Format: | Artigo |
| Jezik: | Inglês |
| Izdano: |
MDPI AG
2020-03-01
|
| Serija: | Entropy |
| Teme: | |
| Online dostop: | https://www.mdpi.com/1099-4300/22/3/332 |
| Oznake: |
Brez oznak, prvi označite!
|