Mining Matrix Data with Bregman Matrix Divergences for Portfolio Selection

DOI10.1007/978-3-642-30232-9_15zbMath1280.91154OpenAlexW2102714712MaRDI QIDQ5325905

Brice Magdalou, Richard Nock, Eric Briys, Frank Nielsen

Publication date: 31 July 2013

Published in: Matrix Information Geometry (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-30232-9_15

zbMATH Keywords

certainty equivalentdivergencerisk premiaportfolio selectionmean-variance modelBregman matrix

Mathematics Subject Classification ID

Stochastic learning and adaptive control (93E35) Portfolio theory (91G10)

Related Items (6)

Conditions for the existence of a generalization of Rényi divergence ⋮ A projection pricing model for non-Gaussian financial returns ⋮ On Geodesic Triangles with Right Angles in a Dually Flat Space ⋮ Information Geometry in Portfolio Theory ⋮ Quasiconvex Jensen Divergences and Quasiconvex Bregman Divergences ⋮ Quantum Jensen-Shannon divergences between infinite-dimensional positive definite operators

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