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...
Salvato in:
| Autori principali: | , , |
|---|---|
| Natura: | Artigo |
| Lingua: | Inglês |
| Pubblicazione: |
MDPI AG
2020-03-01
|
| Serie: | Entropy |
| Soggetti: | |
| Accesso online: | https://www.mdpi.com/1099-4300/22/3/332 |
| Tags: |
Nessun Tag, puoi essere il primo ad aggiungerne!!
|