Portfolio optimization in incomplete markets and price constraints determined by maximum entropy in the mean
Argimiro Arratia, Henryk Gzyl
| Year of publication: |
2020
|
|---|---|
| Authors: | Arratia, Argimiro ; Gzyl, Henryk |
| Subject: | Portfolio optimization | Maximum entropy in mean | Distortion function | Risk neutral measures | Asset pricing | Portfolio-Management | Portfolio selection | Entropie | Entropy | Theorie | Theory | Unvollkommener Markt | Incomplete market | Risiko | Risk |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-019-09954-3 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012390498