Title: Entropy, a New Measurement Method for Investment Portfolio Risk
Abstract: The limitations of measuring risk with variance are analyzed on the base of Markowitz investment portfolio model. So the measurement method of risk is put forward with entropy, and Markowitz investment portfolio model is ameliorated. A new optimization model of portfolio is proposed.
Publication Year: 2003
Publication Date: 2003-01-01
Language: en
Type: article
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Cited By Count: 2
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