| dc.contributor.author | Usta, İlhan | |
| dc.contributor.author | Mert Kantar, Yeliz | |
| dc.contributor.editor | DeFelice, F | |
| dc.date.accessioned | 2019-10-20T09:31:28Z | |
| dc.date.available | 2019-10-20T09:31:28Z | |
| dc.date.issued | 2007 | |
| dc.identifier.isbn | 978-0-88986-687-4 | |
| dc.identifier.issn | 1021-8181 | |
| dc.identifier.uri | https://hdl.handle.net/11421/17702 | |
| dc.description | 16th IASTED International Conference on Applied Simulation and Modelling -- AUG 29-31, 2007 -- Palma de Mallorca, SPAIN | en_US |
| dc.description | WOS: 000251419200005 | en_US |
| dc.description.abstract | In portfolio management, the selection of portfolio weights has received considerable interest. Considering the expected return, risk and uncertainty, the portfolio distribution is to be determined. The maximum entropy (MaxEnt) principle is one of the efficient methods to find distribution of random variables. Thus, in this study, the maximum entropy (MaxEnt) principle is presented as an alternative method of determination of portfolios distribution. Beside, a numerical example is also presented to illustrate this principle. | en_US |
| dc.description.sponsorship | Int Assoc Sci & Technol Dev, IASTED TCMS | en_US |
| dc.language.iso | eng | en_US |
| dc.publisher | Acta Press Anaheim | en_US |
| dc.relation.ispartofseries | IASTED International Conference on Modelling and Simulation | |
| dc.rights | info:eu-repo/semantics/closedAccess | en_US |
| dc.subject | Portfolio Selection | en_US |
| dc.subject | Optimization | en_US |
| dc.subject | Maximum Entropy (Maxent) Principle | en_US |
| dc.title | Portfolio optimization with entropy measure | en_US |
| dc.type | conferenceObject | en_US |
| dc.relation.journal | Proceedings of the 16th Iasted International Conference On Applied Simulation and Modelling | en_US |
| dc.contributor.department | Anadolu Üniversitesi, Fen Fakültesi, İstatistik Bölümü | en_US |
| dc.identifier.startpage | 26 | en_US |
| dc.identifier.endpage | + | en_US |
| dc.relation.publicationcategory | Konferans Öğesi - Uluslararası - Kurum Öğretim Elemanı | en_US |
| dc.contributor.institutionauthor | Mert Kantar, Yeliz | |
