Elliptic entropy of uncertain random variables with application to portfolio selection
Lin Chen, Rong Gao, Yuxiang Bian, Huafei Di
Topics & Concepts
MathematicsEntropy (arrow of time)Portfolio optimizationRandom variableJoint entropyApplied mathematicsMathematical optimizationPortfolioPrinciple of maximum entropyStatisticsFinanceEconomicsPhysicsQuantum mechanicsFuzzy Systems and OptimizationRisk and Portfolio OptimizationStatistical Mechanics and Entropy