Optimal Portfolio Diversification Using the Maximum Entropy Principle
作者： Anil K. Bera , Sung Y. Park
DOI: 10.1080/07474930801960394
关键词:
摘要: … the notion of diversification, MV approach … Entropy is a well-known measure of diversity and also has a shrinkage interpretation. In this article, we propose to use cross- entropy measure …
xmu.edu.cn
researchgate.net 参考文章(35)
George Garrett Judge, Amos Golan, Douglas Miller, Maximum entropy econometrics: robust estimation with limited data Published in <b>1996</b> in Chichester [England] ;New York by Wiley. ,(1996)
Victor DeMiguel, Raman Uppal, Raman Uppal, Lorenzo Garlappi, How Inefficient is the 1/N Asset-Allocation Strategy? Social Science Research Network. ,(2005)
Tongshu Ma, Richard O. Michaud, Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation ,(1998)
S. Kullback, R. A. Leibler, On Information and Sufficiency Annals of Mathematical Statistics. ,vol. 22, pp. 79- 86 ,(1951) , 10.1214/AOMS/1177729694
Robert E. Hoskisson, Michael A. Hitt, Richard A. Johnson, Douglas D. Moesel, Construct validity of an objective (entropy) categorical measure of diversification strategy Strategic Management Journal. ,vol. 14, pp. 215- 235 ,(1993) , 10.1002/SMJ.4250140305
Philippe Jorion, International Portfolio Diversification with Estimation Risk The Journal of Business. ,vol. 58, pp. 259- 278 ,(1985) , 10.1086/296296
Arnold Zellner, Prediction and Decision Problems in Regression Models from the Bayesian Point of View Journal of the American Statistical Association. ,vol. 60, pp. 608- 616 ,(1965) , 10.1080/01621459.1965.10480817
E. T. Jaynes, Information Theory and Statistical Mechanics Physical Review. ,vol. 106, pp. 620- 630 ,(1957) , 10.1103/PHYSREV.106.620
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
Gary Chamberlain, A characterization of the distributions that imply mean—Variance utility functions☆ Journal of Economic Theory. ,vol. 29, pp. 185- 201 ,(1983) , 10.1016/0022-0531(83)90129-1