Entropic Data Envelopment Analysis: A Diversification Approach for Portfolio Optimization
نویسندگان
چکیده
منابع مشابه
Entropic Data Envelopment Analysis: A Diversification Approach for Portfolio Optimization
Recently, different methods have been proposed for portfolio optimization and decision making on investment issues. This article aims to present a new method for portfolio formation based on Data Envelopment Analysis (DEA) and Entropy function. This new portfolio optimization method applies DEA in association with a model resulting from the insertion of the Entropy function directly into the op...
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Department of Industrial Engineering, Khajeh Nasir Toosi University, Tehran, Iran b Louvain School of Management, Center of Operations Research and Econometrics (CORE), Universite Catholique de Louvain, 34 Voie du Roman Pays, B-1348 Louvain-le-Neuve, Belgium Management Department, Lindback Distinguished Chair of Information Systems, La Salle University, Philadelphia, PA 19141, USA Department of...
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ژورنال
عنوان ژورنال: Entropy
سال: 2017
ISSN: 1099-4300
DOI: 10.3390/e19090352