Entropy in portfolio optimization / Yasaman Izadparast Shirazi
In this thesis, we investigate the properties of entropy as an alternative measure of risk. Entropy has been compared with the traditional risk measure, variance from different point of views. It has been established that though variance is computationally simple and very popular among practitioners...
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| Format: | Thesis |
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2017
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| Online Access: | http://studentsrepo.um.edu.my/7764/1/All.pdf http://studentsrepo.um.edu.my/7764/6/yasaman.pdf http://studentsrepo.um.edu.my/7764/ |
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