A new mean-variance-entropy model for uncertain portfolio optimization with liquidity and diversification
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Publication:2137225
DOI10.1016/j.chaos.2021.110842zbMath1498.91395MaRDI QIDQ2137225
Publication date: 16 May 2022
Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.chaos.2021.110842
90C90: Applications of mathematical programming
90C15: Stochastic programming
91G10: Portfolio theory