Optimal asset allocation: Risk and information uncertainty
Sheung Chi Phillip Yam, Hailiang Yang, Fei Lung Yuen
| Year of publication: |
2016
|
|---|---|
| Authors: | Yam, Sheung Chi Phillip ; Yang, Hailiang ; Yuen, Fei Lung |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 251.2016, 2 (1.6.), p. 554-561
|
| Subject: | Uncertainty modelling | Uncertainty measure | Asset allocation | Mean-variance approach | Relative entropy | Risiko | Risk | Portfolio-Management | Portfolio selection | Theorie | Theory | Entropie | Entropy | Entscheidung unter Unsicherheit | Decision under uncertainty | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2015.11.011 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011444354