Portfolio Optimization for Binary Options Based on Relative Entropy

The portfolio optimization problem generally refers to creating an investment portfolio or asset allocation that achieves an optimal balance of expected risk and return. These portfolio returns are traditionally assumed to be continuous random variables. In <i>An Entropy-Based Approach to Port...

Descripción completa

Guardado en:
Detalles Bibliográficos
Autores principales: Peter Joseph Mercurio, Yuehua Wu, Hong Xie
Formato: Artigo
Lenguaje:Inglês
Publicado: MDPI AG 2020-07-01
Colección:Entropy
Materias:
relative entropy
Kullback–Leibler divergence
portfolio optimization
portfolio selection
Kelly criterion
exotic options
Acceso en línea:https://www.mdpi.com/1099-4300/22/7/752
Etiquetas: Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!

Ejemplares similares