Missing Information and Asset Allocation

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dc.creatorBouchaud, Jean-Philippe
dc.creatorPotters, Marc
dc.creatorAguilar, Jean-Pierre
dc.date1997-07-04
dc.date.accessioned2026-07-07T12:07:06Z
dc.date.available2026-07-07T12:07:06Z
dc.descriptionWhen 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.
dc.descriptionLaTeX 5 pages + 1 eps figure
dc.identifierhttps://arxiv.org/abs/cond-mat/9707042
dc.identifierhttp://arxiv.org/abs/cond-mat/9707042
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208856
dc.subjectStatistical Mechanics
dc.subjectPortfolio Management
dc.titleMissing Information and Asset Allocation
dc.typetext

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