Entropy based robust portfolio (Q2078711)

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Entropy based robust portfolio
scientific article

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    title
    Entropy based robust portfolio (English)
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    author
    Yan-li Kang
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    Jing-Song Tian
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    Chen Chen
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    Gui-Yu Zhao
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    Yuan-fu Li
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    Yu Wei
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    published in
    Physica A
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    publication date
    1 March 2022
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    zbMATH Keywords
    Markowitz's mean-variance model
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    entropy
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    robust portfolio
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    higher moments
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    multiobjective particle swarm
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    efficient frontier
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    Identifiers

    zbMATH DE Number
    7482446
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