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Tsallis entropy of uncertain sets and its application to portfolio allocation - MaRDI portal

Tsallis entropy of uncertain sets and its application to portfolio allocation

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Publication:6574068

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DOI10.3934/jimo.2024032MaRDI QIDQ6574068

Mohammad GhasemiGol, Hua Zhao, Hamed Ahmadzade

Publication date: 18 July 2024

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

zbMATH Keywords

portfolio optimization Tsallis entropy uncertain set Monte-Carlo approach mean-entropy model

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

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