Optimal Portfolio Diversification Using the Maximum Entropy Principle
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Cites work
- A characterization of the distributions that imply mean-variance utility functions
- A compendium to information theory in economics and econometrics
- A well-conditioned estimator for large-dimensional covariance matrices
- Entropy, divergence and distance measures with econometric applications
- scientific article; zbMATH DE number 3662819 (Why is no real title available?)
- scientific article; zbMATH DE number 1082203 (Why is no real title available?)
- On Information and Sufficiency
- The MM, ME, ML, EL, EF and GMM approaches to estimation: a synthesis.
Cited in
(42)- The advantage of inhomogeneity -- lessons from a noise driven linearized dynamical system
- A new fuzzy multi-objective higher order moment portfolio selection model for diversified portfolios
- Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction
- An evolutionary algorithm for multiobjective fuzzy portfolio selection models with transaction cost and liquidity
- A more human-like portfolio optimization approach
- Stock market prediction and portfolio selection models: a survey
- Uncertain portfolio optimization problem under a minimax risk measure
- Portfolio optimization with entropic value-at-risk
- Copula-based Black-Litterman portfolio optimization
- Entropy based robust portfolio
- An optimistic value-variance-entropy model of uncertain portfolio optimization problem under different risk preferences
- A new mean-variance-entropy model for uncertain portfolio optimization with liquidity and diversification
- Information content of liquidity and volatility measures
- Non-dominated sorting genetic algorithm-II for possibilistic mean-semiabsolute deviation-Yager entropy portfolio model with complex real-world constraints
- Minimum Rényi entropy portfolios
- Managing portfolio diversity within the mean variance theory
- Density forecast of financial returns using decomposition and maximum entropy
- Diversified portfolios with different entropy measures
- On the diversity constraints for portfolio optimization
- Applications of entropy in finance: a review
- A maximum entropy method for a robust portfolio problem
- Multiobjective portfolio optimization of ARMA-GARCH time series based on experimental designs
- Information Theoretic and Entropy Methods: An Overview
- Computation of channel capacity based on self-concordant functions
- Rao's quadratic entropy and maximum diversification indexation
- Optimal portfolio selection using maximum entropy estimation accounting for the firm specific characteristics
- Risk, return and international portfolio analysis: entropy and linear belief functions
- Portfolio optimization based on generalized information theoretic measures
- An enjoyable research journey on uncertainty
- Enhanced index tracking model with entropy maximization
- Mining matrix data with Bregman matrix divergences for portfolio selection
- Mean-variance-VaR portfolios: MIQP formulation and performance analysis
- A multi-period constrained multi-objective evolutionary algorithm with orthogonal learning for solving the complex carbon neutral stock portfolio optimization model
- Portfolio selection: a target-distribution approach
- Geometric Characterization of Maximum Diversification Return Portfolio via Rao’s Quadratic Entropy
- How to construct a lower risk FOF based on correlation network? The method of principal component risk parity asset allocation
- Utilizing RNN based model and bi-objective programming to a new mean-conditional value at risk-entropy for uncertain portfolio optimization with liquidity and diversification
- A return-diversification approach to portfolio selection
- Black-Litterman portfolio optimization based on GARCH-EVT-copula and LSTM models
- Multi objective mean-variance-skewness model with Burg's entropy and fuzzy return for portfolio optimization
- Acceptance sampling-based investment indicators for financial security selection and portfolio optimization
- Entropy model of the investment portfolio
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