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

• المؤلفون الرئيسيون: Xue Gong, Songsak Sriboonchitta
• التنسيق: Book Series
• منشور في: 2018
• الموضوعات: Computer Science
• الوصول للمادة أونلاين: https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84919344194&origin=inward; http://cmuir.cmu.ac.th/jspui/handle/6653943832/54352
• المؤسسة: Chiang Mai University

© 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...