Geometric Characterization of Maximum Diversification Return Portfolio via Rao’s Quadratic Entropy
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Publication:6159081
DOI10.1137/22m1492313zbMath1518.91248MaRDI QIDQ6159081
Publication date: 1 June 2023
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Euclidean distance matrixspherical embeddingridge regularizationRao's quadratic entropylong-only portfoliomaximum diversification return
Cites Work
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