Missing Information and Asset Allocation

Jean-Philippe Bouchaud, Marc Potters () and Jean-Pierre Aguilar
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Jean-Philippe Bouchaud: CEA Saclay
Jean-Pierre Aguilar: Science & Finance

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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.

Date: 1997-07
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Citations: View citations in EconPapers (14)

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Working Paper: Missing information and asset allocation (1997)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:cond-mat/9707042

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