Portfolio optimization based on generalized information theoretic measures

DOI10.1080/03610926.2020.1861294OpenAlexW3110660154MaRDI QIDQ5096013

H. C. Taneja, Luckshay Batra

Publication date: 12 August 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2020.1861294

zbMATH Keywords

maximum entropyportfolio optimizationRenyi entropyTsallis entropyShannon entropyMarkowitz mean-variance modelVarma entropy

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

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• A Mathematical Theory of Communication
• Applications of entropy in finance: a review
• Indeterminacy in portfolio selection
• Possible generalization of Boltzmann-Gibbs statistics.
• Calibration of the risk-neutral density function by maximization of a two-parameter entropy
• Optimal Portfolio Diversification Using the Maximum Entropy Principle

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