Portfolio optimization based on generalized information theoretic measures (Q5096013)
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scientific article; zbMATH DE number 7571131
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Portfolio optimization based on generalized information theoretic measures |
scientific article; zbMATH DE number 7571131 |
Statements
Portfolio optimization based on generalized information theoretic measures (English)
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12 August 2022
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Markowitz mean-variance model
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portfolio optimization
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Shannon entropy
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Tsallis entropy
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Renyi entropy
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Varma entropy
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maximum entropy
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0.91557515
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0.9038232
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0.90245664
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0.9000748
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0.8937063
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0.89099944
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0.8879106
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0.8878571
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0.8788439
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0.87866724
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