A maximum entropy method for a robust portfolio problem

DOI10.3390/e16063401zbMath1338.91138OpenAlexW2060568997MaRDI QIDQ296477

Long Jiang, Ying-Ying Xu, Zhu-Wu Wu, Xue-Feng Song

Publication date: 15 June 2016

Published in: Entropy (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3390/e16063401

zbMATH Keywords

maximum entropytransaction costsportfolio selectionefficient frontier

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (1)

Tail risk constraints and maximum entropy

Uses Software

• fminsearch

Cites Work

• A Mathematical Theory of Communication
• A note on a minimax rule for portfolio selection and equilibrium price system
• Computing efficient frontiers using estimated parameters
• Robust solutions of linear programming problems contaminated with uncertain data
• Portfolio selection and transactions costs
• Portfolio optimization with linear and fixed transaction costs
• A maximal predictability portfolio using absolute deviation reformulation
• Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis
• A Minimax Portfolio Selection Rule with Linear Programming Solution
• Generalized Lagrange Multiplier Method for Solving Problems of Optimum Allocation of Resources
• Convergence Properties of the Nelder--Mead Simplex Method in Low Dimensions
• Extensions of Lagrange Multipliers in Nonlinear Programming
• Surrogate Mathematical Programming
• Technical Note—Convex Programming with Set-Inclusive Constraints and Applications to Inexact Linear Programming
• Robust Portfolio Selection Problems

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