co nd - m at / 9 70 70 42 4 Ju l 1 99 7 MISSING INFORMATION ANDASSET
نویسندگان
چکیده
When the available statistical information is imperfect, it is dangerous to follow standard optimisation procedures to construct an optimal portfolio, which usually leads to a strong concentration of the weights on very few assets. We propose a new way, based on gener-alised entropies, to ensure a minimal degree of diversiication.
منابع مشابه
co nd - m at / 9 70 70 42 4 Ju l 1 99 7 MISSING INFORMATION AND ASSET ALLOCATION
When the available statistical information is imperfect, it is dangerous to follow standard optimisation procedures to construct an optimal portfolio, which usually leads to a strong concentration of the weights on very few assets. We propose a new way, based on generalised entropies, to ensure a minimal degree of diversification.
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X iv :c on dm at /9 70 40 69 v1 [ co nd -m at .d is -n n] 8 A pr 1 99 7 Quantum Vibrational Impurity Embedded in a One-dimensional Chain ∗ M. I. Molina†, J. A. Rössler† and G. P. Tsironis∗ † Departamento de F́ısica, Facultad de Ciencias Universidad de Chile Casilla 653, Santiago, Chile ∗Department of Physics, University of Crete and Research Center of Crete P.O. Box 2208, 71003 Heraklion-Crete, ...
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