Geometric Characterization of Maximum Diversification Return Portfolio via Rao's Quadratic Entropy.
Hou-Duo QiPublished in: SIAM J. Financial Math. (2023)
Keyphrases
- investment strategies
- pairwise
- tabu search
- information theoretic
- objective function
- mutual information
- information theory
- data sets
- sharpe ratio
- kullback leibler divergence
- computational complexity
- decision making
- geometric structure
- portfolio selection
- real time
- high order
- maximum number
- information entropy
- search result diversification