Minimum Rényi entropy portfolios
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Publication:2241052
DOI10.1007/s10479-019-03364-2zbMath1476.91153arXiv1705.05666OpenAlexW3021194715MaRDI QIDQ2241052
Frédéric Vrins, Nathan Lassance
Publication date: 8 November 2021
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1705.05666
information theoryrisk measurehigher-order momentsShannon entropyportfolio selectionRényi entropyrisk parity
Statistical methods; risk measures (91G70) Measures of information, entropy (94A17) Portfolio theory (91G10)
Related Items (2)
Portfolio selection: a target-distribution approach ⋮ Weighted negative cumulative extropy with application in testing uniformity
Uses Software
Cites Work
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