Missing information and asset allocation

Jean-Philippe Bouchaud, Marc Potters () and Jean-Pierre Aguilar
Additional contact information
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)
Date: 1997-07
New Economics Papers: this item is included in nep-rmg
References: View complete reference list from CitEc
Citations: View citations in EconPapers (13)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: Missing Information and Asset Allocation (1997)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:sfi:sfiwpa:500045

Access Statistics for this paper

More papers in Science & Finance (CFM) working paper archive from Science & Finance, Capital Fund Management 6 boulevard Haussmann, 75009 Paris, FRANCE. Contact information at EDIRC.
Bibliographic data for series maintained by ().