A maximum entropy method for a robust portfolio problem

DOI10.3390/E16063401MaRDI QIDQ296477zbMATH OpenOpenAlexFDO

Authors Long Jiang, Yingying Xu, Zhuwu Wu, Xuefeng Song

Publication date 15 June 2016

Published in Entropy (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3390/e16063401

zbMATH Keywords

maximum entropyportfolio selectiontransaction costsefficient frontier

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Optimal Portfolio Diversification Using the Maximum Entropy Principle
• scientific article; zbMATH DE number 7652673
• Entropy model of the investment portfolio
• Robust optimization and portfolio selection: the cost of robustness
• Multi-period possibilistic mean-entropy portfolio selection

Cites work

• A Mathematical Theory of Communication
• A maximal predictability portfolio using absolute deviation reformulation
• A minimax portfolio selection rule with linear programming solution
• A note on a minimax rule for portfolio selection and equilibrium price system
• Computing efficient frontiers using estimated parameters
• Convergence Properties of the Nelder--Mead Simplex Method in Low Dimensions
• Extensions of Lagrange Multipliers in Nonlinear Programming
• Generalized Lagrange Multiplier Method for Solving Problems of Optimum Allocation of Resources
• Markowitz revisited: mean-variance models in financial portfolio analysis
• Portfolio optimization with linear and fixed transaction costs
• Portfolio selection and transactions costs
• Robust Portfolio Selection Problems
• Robust solutions of linear programming problems contaminated with uncertain data
• Surrogate Mathematical Programming
• Technical Note—Convex Programming with Set-Inclusive Constraints and Applications to Inexact Linear Programming

Cited in

(5)

• Optimal portfolio selection using maximum entropy estimation accounting for the firm specific characteristics
• scientific article; zbMATH DE number 7247655 (Why is no real title available?)
• Optimal Portfolio Diversification Using the Maximum Entropy Principle
• Tail risk constraints and maximum entropy
• Robust mirror descent SA method solving a class of portfolio problems

Describes a project that uses

Uses Software

• fminsearch

This page was built for publication: A maximum entropy method for a robust portfolio problem

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q296477)