Renyi entropy of uncertain random variables and its application to portfolio selection.
Souad ChennafJaleleddine Ben AmorPublished in: Soft Comput. (2023)
Keyphrases
- random variables
- portfolio selection
- graphical models
- probability distribution
- joint distribution
- financial markets
- bayesian networks
- conditional independence
- latent variables
- robust optimization
- stochastic optimization problems
- multiple objectives
- distribution function
- conditional probabilities
- marginal distributions
- random vectors
- belief propagation
- decision making
- probabilistic model
- multi objective
- independent and identically distributed
- joint probability distribution
- markov chain
- optimal portfolio