Entropy based robust portfolio

被引：0
|
作者：
Kang, Yan-li [1 ]
Tian, Jing-Song [2 ]
Chen, Chen [2 ]
Zhao, Gui-Yu [2 ]
Li, Yuan-fu [3 ]
Wei, Yu [4 ]
机构：
[1] School of Economics & Management, Southwest Jiaotong University, Chengdu,610031, China
[2] Business School, China West Normal University, Nanchong,637002, China
[3] School of Civil Engineering, Southwest Jiaotong University, Chengdu,610031, China
[4] School of Finance, Yunnan University of Finance and Economics, Kunming,650221, China
来源：
Physica A: Statistical Mechanics and its Applications | 2021年 / 583卷
关键词：
The authors are grateful for financial support received from the project in 2019 of the 13th five year plan of Social Sciences in Sichuan Province of China ( SC19B123 ); Doctoral research project of West China Normal University ( 19E031 ); Talents fund project of China West Normal University ( 17YC311 );
D O I：
暂无
中图分类号：
学科分类号：
摘要：
42
引用
收藏
相关论文
共 50 条
  • [1] Entropy based robust portfolio
    Kang, Yan-li
    Tian, Jing-Song
    Chen, Chen
    Zhao, Gui-Yu
    Li, Yuan-fu
    Wei, Yu
    PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2021, 583
  • [2] A Maximum Entropy Method for a Robust Portfolio Problem
    Xu, Yingying
    Wu, Zhuwu
    Jiang, Long
    Song, Xuefeng
    ENTROPY, 2014, 16 (06) : 3401 - 3415
  • [3] Portfolio optimization based on fuzzy entropy
    Rahimi, Mohamadtaghi
    Kumar, Pranesh
    INTERNATIONAL JOURNAL OF INTERACTIVE DESIGN AND MANUFACTURING - IJIDEM, 2019, 13 (02): : 531 - 536
  • [4] Portfolio optimization based on fuzzy entropy
    Mohamadtaghi Rahimi
    Pranesh Kumar
    International Journal on Interactive Design and Manufacturing (IJIDeM), 2019, 13 : 531 - 536
  • [5] Theory of portfolio and risk based on incremental entropy
    Ou, Jianshe
    JOURNAL OF RISK FINANCE, 2005, 6 (01) : 31 - 39
  • [6] An Entropy-Based Approach to Portfolio Optimization
    Mercurio, Peter Joseph
    Wu, Yuehua
    Xie, Hong
    ENTROPY, 2020, 22 (03)
  • [7] A robust knapsack based constrained portfolio optimization
    Vaezi F.
    Sadjadi S.J.
    Makui A.
    Sadjadi, S.J. (sjsadjadi@iust.ac.ir), 1600, Materials and Energy Research Center (33): : 841 - 851
  • [8] The Optimal Robust Portfolio Model Based on CDaR
    Yu, Xing
    PROCEEDINGS OF THE 2ND INTERNATIONAL CONFERENCE ON COMPUTER AND INFORMATION APPLICATIONS (ICCIA 2012), 2012, : 904 - 906
  • [9] Robust Portfolio Selection Based on Optimization Methods
    Jin Chu-xin
    Chen Wan-yi
    Yu Shu-jing
    2018 37TH CHINESE CONTROL CONFERENCE (CCC), 2018, : 8359 - 8364
  • [10] A Robust Knapsack Based Constrained Portfolio Optimization
    Vaezi, F.
    Sadjadi, S. J.
    Makui, A.
    INTERNATIONAL JOURNAL OF ENGINEERING, 2020, 33 (05): : 841 - 851
12345