Decision Sciences
3 years ago

Boost your investment returns while maintaining diversification with maximum entropy method!

2 views
Mathematics
Tracking a Well Diversified Portfolio with Maximum Entropy in the Mean
Argimiro Arratia, Henryk Gzyl, Silvia Mayoral

Paper Summary

The article shows how to increase the return of a diversified investment portfolio while keeping it diversified. By using a method called maximum entropy in the mean, the researchers found a way to maximize the return within a certain range of the original portfolio. This means that if the original portfolio had good risk and diversification, the new portfolio with maximum return in that range will also have good risk and diversification.

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