Tail Risk Constraints and Maximum Entropy
Portfolio selection in the financial literature has essentially been analyzed under two central assumptions: full knowledge of the joint probability distribution of the returns of the securities that will comprise the target portfolio; and investors’ preferences are expressed through a utility funct...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2015-06-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | http://www.mdpi.com/1099-4300/17/6/3724 |