Diversified portfolios with different entropy measures
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Publication:279248
DOI10.1016/J.AMC.2014.04.006zbMath1335.91072OpenAlexW2024617909MaRDI QIDQ279248
Wan-Jiun Paul Chiou, Wen-Yi Lee, Jing-Rung Yu
Publication date: 27 April 2016
Published in: Applied Mathematics and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.amc.2014.04.006
entropymultiple criteria analysistransaction costmultiple objective programmingportfolio selectionshort selling
Applications of statistics to actuarial sciences and financial mathematics (62P05) Multi-objective and goal programming (90C29) Portfolio theory (91G10)
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