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Missing Information and Asset Allocation

Listed author(s):
  • Jean-Philippe Bouchaud

    (CEA Saclay
    Science & Finance)

  • Marc Potters

    (Science & Finance)

  • Jean-Pierre Aguilar

    (Science & Finance)

When 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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Paper provided by in its series Papers with number cond-mat/9707042.

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Date of creation: Jul 1997
Handle: RePEc:arx:papers:cond-mat/9707042
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