A maximum entropy method for a robust portfolio problem

DOI10.3390/E16063401zbMATH Open1338.91138OpenAlexW2060568997MaRDI QIDQ296477FDOQ296477

Yingying Xu, Long Jiang, Zhuwu Wu, Xuefeng Song

Publication date: 15 June 2016

Published in: Entropy (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3390/e16063401

Recommendations

• Optimal Portfolio Diversification Using the Maximum Entropy Principle
• scientific article; zbMATH DE number 7652673
• Entropy model of the investment portfolio
• Robust optimization and portfolio selection: the cost of robustness
• Multi-period possibilistic mean-entropy portfolio selection

zbMATH Keywords

maximum entropyportfolio selectiontransaction costsefficient frontier

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Convergence Properties of the Nelder--Mead Simplex Method in Low Dimensions
• A Mathematical Theory of Communication
• Robust solutions of linear programming problems contaminated with uncertain data
• Portfolio optimization with linear and fixed transaction costs
• Technical Note—Convex Programming with Set-Inclusive Constraints and Applications to Inexact Linear Programming
• Markowitz revisited: mean-variance models in financial portfolio analysis
• Robust Portfolio Selection Problems
• A note on a minimax rule for portfolio selection and equilibrium price system
• Computing efficient frontiers using estimated parameters
• Portfolio selection and transactions costs
• A maximal predictability portfolio using absolute deviation reformulation
• A minimax portfolio selection rule with linear programming solution
• Generalized Lagrange Multiplier Method for Solving Problems of Optimum Allocation of Resources
• Extensions of Lagrange Multipliers in Nonlinear Programming
• Surrogate Mathematical Programming

Cited In (3)

• Title not available (Why is that?)
• Tail risk constraints and maximum entropy
• Optimal Portfolio Diversification Using the Maximum Entropy Principle

Uses Software

• fminsearch

This page was built for publication: A maximum entropy method for a robust portfolio problem

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q296477)