Geometric Characterization of Maximum Diversification Return Portfolio via Rao’s Quadratic Entropy (Q6159081)

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scientific article; zbMATH DE number 7691068
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Geometric Characterization of Maximum Diversification Return Portfolio via Rao’s Quadratic Entropy
scientific article; zbMATH DE number 7691068

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    Geometric Characterization of Maximum Diversification Return Portfolio via Rao’s Quadratic Entropy (English)
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    1 June 2023
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    maximum diversification return
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    Euclidean distance matrix
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    Rao's quadratic entropy
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    ridge regularization
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    long-only portfolio
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    spherical embedding
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