Portfolio Optimization for Binary Options Based on Relative Entropy
The portfolio optimization problem generally refers to creating an investment portfolio or asset allocation that achieves an optimal balance of expected risk and return. These portfolio returns are traditionally assumed to be continuous random variables. In <i>An Entropy-Based Approach to Port...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2020-07-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1099-4300/22/7/752 |