Missing information and asset allocation

When the available statistical information is imperfect, it is dangerous to follow standard optimisation procedures to construct an optimal portfolio, which usually leads to a strong concentration of the weights on very few assets. We propose a new way, based on generalised entropies, to ensure a minimal degree of diversification.

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Year of publication:	1997-07
Authors:	Bouchaud, Jean-Philippe ; Aguilar, Jean-Pierre
Institutions:	Science & Finance

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Series:	Science & Finance (CFM) working paper archive.
Type of publication:	Book / Working Paper
Notes:	Number 500045
Classification:	G10 - General Financial Markets. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005328194