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...

Бүрэн тодорхойлолт

Номзүйн дэлгэрэнгүй

Үндсэн зохиолчид:	Peter Joseph Mercurio, Yuehua Wu, Hong Xie
Формат:	Artigo
Хэл сонгох:	Inglês
Хэвлэсэн:	MDPI AG 2020-07-01
Цуврал:	Entropy
Нөхцлүүд:	relative entropy Kullback–Leibler divergence portfolio optimization portfolio selection option portfolios European options
Онлайн хандалт:	https://www.mdpi.com/1099-4300/22/8/805
Шошгууд:	Шошго нэмэх Шошго байхгүй, Энэхүү баримтыг шошголох эхний хүн болох!