Missing Information and Asset Allocation
AbstractWhen the available statistical information is imperfect, it is dangerous to follow standard optimisation procedures to construct an optimal portfolio, which usually leads to a strong concentration of the weights on very few assets. We propose a new way, based on generalised entropies, to ensure a minimal degree of diversification.
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Bibliographic InfoPaper provided by arXiv.org in its series Papers with number cond-mat/9707042.
Date of creation: Jul 1997
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- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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- Andreia Dionisio & Rui Menezes & Diana A. Mendes, 2005.
"An econophysics approach to analyse uncertainty in financial markets: an application to the Portuguese stock market,"
physics/0509250, arXiv.org, revised Sep 2005.
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- Kolm, Petter N. & Tütüncü, Reha & Fabozzi, Frank J., 2014. "60 Years of portfolio optimization: Practical challenges and current trends," European Journal of Operational Research, Elsevier, vol. 234(2), pages 356-371.
- Frahm, Gabriel & Wiechers, Christof, 2011. "On the diversification of portfolios of risky assets," Discussion Papers in Statistics and Econometrics 2/11, University of Cologne, Department for Economic and Social Statistics.
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