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Optimal Portfolio Diversification Using Maximum Entropy Principle
Diversification Entropy measure Portfolio selection Shrinkage rule Simulation methods
2011/4/2
Markowitz’s mean-variance (MV) efficient portfolio selection is one of the most widely used approaches in solving portfolio diversification problem. However, contrary to the notion of diversification,...
Venus atmosphere profile from a maximum entropy principle
Venus atmosphere profile maximum entropy principle
2009/11/3
The variational method with constraints recently developed by Verkley and Gerkema to describe maximum-entropy atmospheric profiles is generalized to ideal gases but with temperature-dependent specific...