Missing information and asset allocation

Jean-Philippe Bouchaud, Marc Potters () and Jean-Pierre Aguilar
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Jean-Philippe Bouchaud: Science & Finance, Capital Fund Management
Jean-Pierre Aguilar: Science & Finance, Capital Fund Management

No 500045, Science & Finance (CFM) working paper archive from Science & Finance, Capital Fund Management

Abstract: 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.

JEL-codes: G10 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-rmg
Date: 1997-07
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http://www.cfm.fr/papers/9707042.pdf (application/pdf)

Related works:
Working Paper: Missing Information and Asset Allocation (1997)
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Persistent link: http://EconPapers.repec.org/RePEc:sfi:sfiwpa:500045

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