Entropy and information in portfolio choice

DOI10.1080/00207729408949362zbMath0818.90010OpenAlexW2050747970MaRDI QIDQ4763837

Jati K. Sengupta

Publication date: 1 May 1995

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

Full work available at URL: https://doi.org/10.1080/00207729408949362

zbMATH Keywords

entropyoptimal portfolio models

Mathematics Subject Classification ID

Measures of information, entropy (94A17)

Cites Work

• Likelihood of a model and information criteria
• Sensitivity Analysis for Mean-Variance Portfolio Problems
• Modelling the persistence of conditional variances
• Optimality and robustness of a minimax portfolio
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Maximum entropy in applied econometric research

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