Minimum Rényi entropy portfolios
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Other versions of this item:
- Nathan Lassance & Fr'ed'eric Vrins, 2017. "Minimum R\'enyi Entropy Portfolios," Papers 1705.05666, arXiv.org, revised Jul 2018.
- Lassance, Nathan & Vrins, Frédéric, 2019. "Minimum Rényi entropy portfolios," LIDAM Reprints LFIN 2019009, Université catholique de Louvain, Louvain Finance (LFIN).
- LASSANCE Nathan, & VRINS Frédéric,, 2019. "Minimum Rényi entropy portfolios," LIDAM Discussion Papers CORE 2019001, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Nathan Lassance & Frédéric Vrins, 2019. "Minimum Rényi entropy portfolios," LIDAM Reprints CORE 3062, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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Cited by:
- Devi, Sandhya, 2018. "Financial Portfolios based on Tsallis Relative Entropy as the Risk Measure," MPRA Paper 91614, University Library of Munich, Germany.
- Sandhya Devi, 2019. "Financial Portfolios based on Tsallis Relative Entropy as the Risk Measure," Papers 1901.04945, arXiv.org, revised Mar 2019.
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More about this item
Keywords
portfolio selection ; Shannon entropy ; Rényi entropy ; risk measure ; information theory;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2020-10-12 (Risk Management)
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