Optimal Portfolio Diversification Using the Maximum Entropy Principle (Q3518459)
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scientific article; zbMATH DE number 5309109
| Language | Label | Description | Also known as |
|---|---|---|---|
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| English | Optimal Portfolio Diversification Using the Maximum Entropy Principle |
scientific article; zbMATH DE number 5309109 |
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Optimal Portfolio Diversification Using the Maximum Entropy Principle (English)
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8 August 2008
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diversification
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entropy measure
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portfolio selection
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shrinkage rule
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simulation methods
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0.8278221487998962
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0.7860743403434753
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0.7842742800712585
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0.7829088568687439
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0.7805830240249634
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