Entropy model of the investment portfolio

被引：6
|
作者：
Popkov, A. Yu. [1 ]
机构：
[1] Russian Acad Sci, Inst Syst Anal, Moscow, Russia
来源：
AUTOMATION AND REMOTE CONTROL | 2006年 / 67卷 / 09期
关键词：
89.65.-s;
D O I：
10.1134/S000511790609013X
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
A stochastic model of the investment portfolio based on maximization of entropy was proposed. The model claims at simulating behavior of the investor at portfolio formation. Consideration was given to the computational methods adapted to the problems arising in these models.
引用
收藏
页码：1518 / 1528
页数：11
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