Optimal portfolio selection using maximum entropy estimation accounting for the firm specific characteristics
© Springer International Publishing Switzerland 2015. The estimated return and variance for the Markowitz mean-variance optimization have been demonstrated to be inaccurate; thereafter it could make the traditional mean-variance optimization inefficient. This paper applied the Maximum Entropy (ME) p...
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| Main Authors: | , |
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| Format: | Book Series |
| Published: |
2018
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| Subjects: | |
| Online Access: | https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84919344194&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/54352 |
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| Institution: | Chiang Mai University |