Portfolio Optimization for Binary Options Based on Relative Entropy.
Peter Joseph MercurioYuehua WuHong XiePublished in: Entropy (2020)
Keyphrases
- relative entropy
- portfolio optimization
- information theoretic
- problems involving
- portfolio selection
- information theory
- mutual information
- log likelihood
- covariance matrix
- factor analysis
- stock market
- robust optimization
- bi objective
- risk management
- mahalanobis distance
- optimization methods
- stock price
- kullback leibler divergence
- stock exchange
- feature selection
- bregman divergences
- non stationary
- evolutionary algorithm