How to keep your portfolio close in risk and diversification to a desired benchmark
Argimiro Arratia, Henryk Gzyl, Silvia Mayoral
| Year of publication: |
2024
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|---|---|
| Authors: | Arratia, Argimiro ; Gzyl, Henryk ; Mayoral, Silvia |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 64.2024, 3, p. 1489-1505
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| Subject: | Benchmark tracking | Maximum entropy in mean for linear programming problems | Risk controlled optimal portfolio | Well diversified portfolio | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Benchmarking | Theorie | Theory | Entropie | Entropy | Risiko | Risk | Diversifikation | Diversification |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-023-10485-1 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015143936