Missing Information and Asset Allocation
Statistical Mechanics
2008-12-02 v1 Portfolio Management
Abstract
When the available statistical information is imperfect, it is dangerous to follow standard optimisation procedures to construct an optimal portfolio, which usually leads to a strong concentration of the weights on very few assets. We propose a new way, based on generalised entropies, to ensure a minimal degree of diversification.
Cite
@article{arxiv.cond-mat/9707042,
title = {Missing Information and Asset Allocation},
author = {Jean-Philippe Bouchaud and Marc Potters and Jean-Pierre Aguilar},
journal= {arXiv preprint arXiv:cond-mat/9707042},
year = {2008}
}
Comments
LaTeX 5 pages + 1 eps figure