Entropy based robust portfolio

DOI10.1016/j.physa.2021.126260OpenAlexW3188362803MaRDI QIDQ2078711

Yan-li Kang, Gui-Yu Zhao, Jing-Song Tian, Yu Wei, Yuan-fu Li, Chen Chen

Publication date: 1 March 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2021.126260

zbMATH Keywords

entropyefficient frontierrobust portfoliohigher momentsMarkowitz's mean-variance modelmultiobjective particle swarm

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Uses Software

• MOPSO

Cites Work

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