Portfolio optimization based on generalized information theoretic measures

DOI10.1080/03610926.2020.1861294MaRDI QIDQ5096013zbMATH OpenOpenAlexFDO

Authors Luckshay Batra, H. C. Taneja

Publication date 12 August 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2020.1861294

zbMATH Keywords

Markowitz mean-variance modelmaximum entropyportfolio optimizationRenyi entropyShannon entropyTsallis entropyVarma entropy

Mathematics Subject Classification ID

Statistics (62-XX)

Recommendations

• Mixed strategy and information theory in optimal portfolio choice
• Information geometry in portfolio theory
• Entropy and information in portfolio choice
• Portfolio theory, information theory and Tsallis statistics
• Portfolio optimization under entropic risk management
• Portfolio selection under independent possibilistic information
• Optimal portfolio, partial information and Malliavin calculus
• Portfolio optimization with different information flow
• A Bayesian information criterion for portfolio selection
• The value of information for optimal portfolio management

Cites work

• A Mathematical Theory of Communication
• Applications of entropy in finance: a review
• Calibration of the risk-neutral density function by maximization of a two-parameter entropy
• scientific article; zbMATH DE number 3173999 (Why is no real title available?)
• scientific article; zbMATH DE number 3266242 (Why is no real title available?)
• Indeterminacy in portfolio selection
• Optimal Portfolio Diversification Using the Maximum Entropy Principle
• Possible generalization of Boltzmann-Gibbs statistics.

Cited in

(2)

• Generalization bounds for regularized portfolio selection with market side information
• Tsallis entropy of uncertain sets and its application to portfolio allocation

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