Optimal Portfolio Diversification Using the Maximum Entropy Principle

DOI10.1080/07474930801960394zbMath1482.91192WikidataQ56806308 ScholiaQ56806308MaRDI QIDQ3518459

Sung Y. Park, Anil K. Bera

Publication date: 8 August 2008

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930801960394

zbMATH Keywords

diversification; portfolio selection; simulation methods; entropy measure; shrinkage rule

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62B10: Statistical aspects of information-theoretic topics

91G10: Portfolio theory

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