Option Portfolio Selection with Generalized Entropic Portfolio Optimization

Mercurio, PJ; Wu, YH; Xie, H

Mercurio, PJ; Wu, YH (corresponding author), York Univ, Dept Math & Stat, Toronto, ON M3J 1P3, Canada.

ENTROPY, 2020; 22 (8):

Abstract

In this third and final paper of our series on the topic of portfolio optimization, we introduce a further generalized portfolio selection method call......

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