Minimum Rényi entropy portfolios

Accounting for the non-normality of asset returns remains one of the main challenges in portfolio optimization. In this paper, we tackle this problem by assessing the risk of the portfolio through the “amount of randomness” conveyed by its returns. We achieve this using an objective function that re...

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Veröffentlicht in:	Annals of operations research Jg. 299; H. 1-2; S. 23 - 46
Hauptverfasser:	Lassance, Nathan, Vrins, Frédéric
Format:	Journal Article
Sprache:	Englisch
Veröffentlicht:	New York Springer US 01.04.2021 Springer Nature B.V
Schlagworte:	Business and Management Combinatorics Entropy Entropy (Information theory) Information theory Kurtosis Normality Operations research Operations Research/Decision Theory Optimization Parameter uncertainty Risk S.I.: Recent Developments in Financial Modeling and Risk Management Theory of Computation Uncertainty Higher-order moments Risk parity Risk measure Portfolio selection Rényi entropy Shannon entropy Information theory
ISSN:	0254-5330, 1572-9338
Online-Zugang:	Volltext
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