Missing Information and Asset Allocation

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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.
LaTeX 5 pages + 1 eps figure

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Statistical Mechanics, Portfolio Management

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http://salesiana.dossiersoluciones.com/handle/123456789/208856

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/cond-mat/9707042
 http://arxiv.org/abs/cond-mat/9707042

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arXiv