Mixed strategy and information theory in optimal portfolio choice

DOI10.1080/00207728908910121zbMath0675.90010OpenAlexW2001437465MaRDI QIDQ3830774

Jati K. Sengupta

Publication date: 1989

Published in: International Journal of Systems Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207728908910121

zbMATH Keywords

entropyoptimal strategiesportfolio choiceinformation measure

Mathematics Subject Classification ID

Cites Work

• Constrained games as complementary eigenvalue problems
• Designing information structures for quadratic decision problems
• Mixed strategy solutions for quadratic games
• Information Theory and Statistical Mechanics
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