Tracking a Well Diversified Portfolio with Maximum Entropy in the Mean
In this work we address the following problem: Having chosen a well diversified portfolio, we show how to improve on its return, maintaining the diversification. In order to achieve this boost on return we construct a neighborhood of the well diversified portfolio and find a portfolio that maximizes...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-02-01
|
| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/10/4/557 |