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Minimum Rényi entropy portfolios

Nathan Lassance () and Frédéric Vrins ()

No 2019003, LIDAM Discussion Papers LFIN from Université catholique de Louvain, Louvain Finance (LFIN)

Keywords: portfolio selection; Shannon entropy; Rényi entropy; risk measure; information theory (search for similar items in EconPapers)
Date: 2019-01-01
New Economics Papers: this item is included in nep-rmg
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Related works:
Working Paper: Minimum Rényi entropy portfolios (2019)
Working Paper: Minimum Rényi entropy portfolios (2019) Downloads
Working Paper: Minimum Rényi entropy portfolios (2019)
Working Paper: Minimum R\'enyi Entropy Portfolios (2018) Downloads
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