Optimal Portfolio Selection Using Maximum Entropy Estimation Accounting for the Firm Specific Characteristics

DOI10.1007/978-3-319-13449-9_21zbMath1418.91471OpenAlexW2216439952MaRDI QIDQ4558848

Songsak Sriboonchitta, Xue Gong

Publication date: 30 November 2018

Published in: Econometrics of Risk (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-13449-9_21

zbMATH Keywords

Sharpe ratioportfolio selectionportfolio selection problemfirm characteristicportfolio weight

Mathematics Subject Classification ID

Portfolio theory (91G10)

Uses Software

• GAMS

Cites Work

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• Information Theory and Statistical Mechanics
• Optimal Portfolio Diversification Using the Maximum Entropy Principle
• ENHANCEMENT OF THE APPLICABILITY OF MARKOWITZ'S PORTFOLIO OPTIMIZATION BY UTILIZING RANDOM MATRIX THEORY

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