Kitenge, Anaclet K.; Muteba Mwamba, John; Mba, Jules C. - In: Econometrics : open access journal 14 (2026) 1, pp. 1-28
Maximum Entropy (P3) portfolios, with and without commodity proxy inclusion (gold and oil) in a multi-asset universe featuring … prominent African equity indices. Our key finding challenges classical theory: the robust Maximum Entropy portfolio (P3 …