Entropic Data Envelopment Analysis: A Diversification Approach for Portfolio Optimization.
Paulo Rotela JuniorLuiz Célio Souza RochaGiancarlo AquilaPedro Paulo BalestrassiRogério Santana PeruchiLiviam Soares LacerdaPublished in: Entropy (2017)
Keyphrases
- data envelopment analysis
- portfolio optimization
- portfolio selection
- input output
- problems involving
- stock market
- tabu search
- factor analysis
- portfolio management
- linear programming
- risk management
- optimization methods
- robust optimization
- dea models
- multi criteria
- stock price
- bi objective
- multiple objective programming
- stock exchange
- neural network
- probability distribution
- multi objective
- artificial intelligence
- dea model
- data mining