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  • Search: subject:"generalized relative entropy"
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Subject
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Global portfolio optimization 1 black-litterman model 1 generalized relative entropy 1 least discrimination 1 mean-variance analysis 1 non-linear pay-offs 1 relative entropy 1 utility theory 1
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Online availability
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Free 1
Type of publication
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Book / Working Paper 1
Language
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English 1
Author
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Pezier, Jacques 1
Institution
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Henley Business School, University of Reading 1
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ICMA Centre Discussion Papers in Finance 1
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RePEc 1
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Global Portfolio Optiomization Revisted: A Least Discrimination Alternative to Black-Litterman
Pezier, Jacques - Henley Business School, University of Reading - 2007
Global portfolio optimization models rank among the proudest achievements of modern finance theory, but practitioners are still struggling to put them to work. In 1992, Black and Litterman put the problem down to difficulties portfolio managers have in extrapolating views about some expected...
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