Mining matrix data with Bregman matrix divergences for portfolio selection

DOI10.1007/978-3-642-30232-9_15MaRDI QIDQ5325905zbMATH OpenOpenAlexFDO

Authors Richard Nock, Brice Magdalou, Eric Briys, Frank Nielsen

Publication date 31 July 2013

Published in Matrix Information Geometry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-30232-9_15

zbMATH Keywords

Bregman matrixcertainty equivalentdivergencemean-variance modelportfolio selectionrisk premia

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic learning and adaptive control (93E35)

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Cited in

(7)

• Quantum Jensen-Shannon divergences between infinite-dimensional positive definite operators
• Conditions for the existence of a generalization of Rényi divergence
• A projection pricing model for non-Gaussian financial returns
• Information geometry in portfolio theory
• Quasiconvex Jensen divergences and quasiconvex Bregman divergences
• On Geodesic Triangles with Right Angles in a Dually Flat Space
• Analysts' dividend forecasts, portfolio selection, and market risk premia

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