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Entropy and Optimization of Portfolio for quant analysis

(Last Updated On: February 23, 2012)

Entropy and Optimization of Portfolio for quant analysis


We briefly review the approach to optimization of portfolios according to the theory of Markowitz and propose a further modication that can improve the outcome of the optimization process. The modication takes account of the entropic contribution from the time series used to compute the parameters in the Markowitz method. For more details: http://wonabru.com/papers/optimisationofportfolio_Revtex.

 

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The proper link ishttp://wonabru.com/papers/optimisationofportfolio_Revtex.pdf

 

 

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