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Portfolio Optimization in Incomplete Markets and Price Constraints Determined by Maximum Entropy in the Mean

Published Online: 2019-12-12

Published Print: 2020-12

Authors

Arratia, Argimiro https://orcid.org/0000-0003-1551-420X
Gzyl, Henryk
Funding

Funding for this research was provided by:

Ministerio de Economía, Industria y Competitividad, Gobierno de España (TIN2017-89244-R)
License Information

Text and Data Mining valid from 2019-12-12

Version of Record valid from 2019-12-12
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Article History

Accepted: 21 November 2019

First Online: 12 December 2019

Document is current