Portfolio optimization with entropy measure
作者： Yeliz Mert Kantar , Ilhan Usta
DOI:
关键词: Joint entropy 、 Portfolio optimization 、 Entropy (information theory) 、 Principle of maximum entropy 、 Mathematics 、 Mathematical optimization 、 Entropy maximization
摘要:
acm.org 参考文章(6)
J. D. Jobson, B. Korkie, Estimation for Markowitz Efficient Portfolios Journal of the American Statistical Association. ,vol. 75, pp. 544- 554 ,(1980) , 10.1080/01621459.1980.10477507
Nader Ebrahimi, Esfandiar Maasoumi, Ehsan S. Soofi, Ordering univariate distributions by entropy and variance Journal of Econometrics. ,vol. 90, pp. 317- 336 ,(1999) , 10.1016/S0304-4076(98)00046-3
C Shanndn, W Weaver, The Mathematical Theory of Communication ,(1948)
Anil K. Bera, Sung Y. Park, Optimal Portfolio Diversification Using the Maximum Entropy Principle Econometric Reviews. ,vol. 27, pp. 484- 512 ,(2008) , 10.1080/07474930801960394
Olivier Ledoit, Michael Wolf, Improved estimation of the covariance matrix of stock returns with an application to portfolio selection Journal of Empirical Finance. ,vol. 10, pp. 603- 621 ,(2003) , 10.1016/S0927-5398(03)00007-0
Edwin T. Jaynes, Papers on probability, statistics and statistical physics Synthese Library. ,(1983)