Portfolio optimization based on generalized information theoretic measures
Author:
Affiliation:
1. Department of Applied Mathematics, Delhi Technological University, Delhi, India
Publisher
Informa UK Limited
Subject
Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/03610926.2020.1861294
Reference13 articles.
1. Evaluating volatile stock markets using information theoretic measures
2. Optimal Portfolio Diversification Using the Maximum Entropy Principle
3. Entropy Optimization Principles and Their Applications
4. Calibration of the risk-neutral density function by maximization of a two-parameter entropy
5. Portfolio Selection
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