Optimal portfolio selection using maximum entropy estimation accounting for the firm specific characteristics

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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書目詳細資料
Main Authors:	Xue Gong, Songsak Sriboonchitta
格式:	Book Series
出版:	2018
主題:	Computer Science
在線閱讀:	https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84919344194&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/54352
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Chiang Mai University

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