On the diversity constraints for portfolio optimization

DOI10.3390/E15114607zbMATH Open1422.91658OpenAlexW1985752843MaRDI QIDQ280668FDOQ280668

Authors: Jun-Lin Lin 

Publication date: 10 May 2016

Published in: Entropy (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3390/e15114607

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zbMATH Keywords

normentropyportfolio optimizationdiversity constraint

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
• Sensitivity Analysis for Mean-Variance Portfolio Problems
• Mean-variance-skewness-entropy measures: a multi-objective approach for portfolio selection
• Portfolio analysis. From probabilistic to credibilistic and uncertain approaches.

Cited In (1)

• Diversified minimum-variance portfolios

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