Entropy and Optimization of Portfolios

Krzysztof Urbanowicz

Papers from arXiv.org

Abstract: We briefly review the approach to optimization of portfolios according to the theory of Markowitz and propose a further modification that can improve the outcome of the optimization process. The modification takes account of the entropic contribution from the time series used to compute the parameters in the Markowitz method.

Date: 2014-08
New Economics Papers: this item is included in nep-rmg
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