Tracking a Well Diversified Portfolio with Maximum Entropy in the Mean
نویسندگان
چکیده
In this work we address the following problem: Having chosen a well diversified portfolio, show how to improve on its return, maintaining diversification. order achieve boost return construct neighborhood of portfolio and find that maximizes in neighborhood. For use method maximum entropy mean yields any possible up within The implicit bonus is if benchmark has acceptable risk diversification, will also have
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ژورنال
عنوان ژورنال: Mathematics
سال: 2022
ISSN: ['2227-7390']
DOI: https://doi.org/10.3390/math10040557