Portfolio optimization in incomplete markets and price constraints determined by maximum entropy in the mean
Year of publication: |
2020
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Authors: | Arratia, Argimiro ; Gzyl, Henryk |
Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 56.2020, 4, p. 929-952
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Subject: | Portfolio optimization | Maximum entropy in mean | Distortion function | Risk neutral measures | Asset pricing | Entropie | Entropy | Portfolio-Management | Portfolio selection | Theorie | Theory | Unvollkommener Markt | Incomplete market |
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