Portfolio optimization under entropic risk management
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Publication:839733
DOI10.1007/S10114-009-7524-XzbMATH Open1192.91174OpenAlexW2106366751MaRDI QIDQ839733FDOQ839733
Publication date: 3 September 2009
Published in: Acta Mathematica Sinica, English Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10114-009-7524-x
Cites Work
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Cited In (8)
- Computation and analysis for a constrained entropy optimization problem in finance
- Portfolio optimization based on generalized information theoretic measures
- A new portfolio rebalancing model with transaction costs
- Portfolio optimization with entropic value-at-risk
- Portfolio selection using \(\lambda\) mean and hybrid entropy
- Entropy model of the investment portfolio
- Security portfolio management based on combined entropic risk measures
- Triangular entropy of uncertain variables with application to portfolio selection
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