This paper presents an improved method of applying entropy as a risk in portfolio
optimization. A new family of portfolio optimization problems called the return-entropy …

Portfolio Diversification provides an update on the practice of combining several risky
investments in a portfolio with the goal of reducing the portfolio's overall risk. In this book …

Uniform budgeting in risk budgeting (RB), which results in risk parity (RP), can be sub-
optimal in the case where assets are correlated. In particular, it may lead to solutions with …

In this paper, exploiting a geometric argument, a novel and intuitive approach to portfolio
diversification is proposed. The risk-adjusted geometric diversified portfolio is obtained as …

Mean–variance efficient portfolios are optimal as modern portfolio theory alleges, only if risk
were foreseeable, which is under the hypothesis that price (co) variance is known with …

We provide an axiomatic foundation for the measurement of correlation diversification in a
one-period portfolio model. We propose a set of eight desirable axioms for this class of …

This paper proposes a new formulation of the maximum diversification indexation strategy
based on Rao's Quadratic Entropy. It clarifies the investment problem underlying this …

Ever since modern portfolio theory was introduced by Harry Markowitz in 1952, a plethora of
papers have been written on the mean-variance investment problem. However, due to the …

Portföy seçim problemi her dönem finansın ve yatırımın önemli bir konusu olmuştur.
Problemin özü, belirli krkerler ve kısıtlamalar ile en iyi portföyü bulabilmektir.(OKrterer ve …

Introduction and purpose: The portfolio theory is one of the theories in the financial field that
was presented by Harry Markowitz. This theory states that investors should diversify their …