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Minimum Rényi entropy portfolios - MaRDI portal

Minimum Rényi entropy portfolios (Q2241052)

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Minimum Rényi entropy portfolios
scientific article

    Statements

    title
    Minimum Rényi entropy portfolios (English)
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    author
    Nathan Lassance
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    Frédéric Vrins
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    publication date
    8 November 2021
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    zbMATH Keywords
    portfolio selection
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    Shannon entropy
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    Rényi entropy
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    risk measure
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    information theory
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    higher-order moments
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    risk parity
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    cites work
    Q4367308
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    Q3723487
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    Q3292859
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    Q4012694
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    Q4096256
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    94A17
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    91G70
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    zbMATH DE Number
    7421922
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    OpenAlex ID
    W3021194715
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    arXiv ID
    1705.05666
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