Missing Information and Asset Allocation

Details Missing Information and Asset Allocation Missing Information and Asset Allocation

1997-07-04

arxiv.org/abs/cond-mat/9707042v1

Physics

Condensed Matter

Statistical Mechanics

LaTeX 5 pages + 1 eps figure

Scientific paper

When the available statistical information is imperfect, it is dangerous to
follow standard optimisation procedures to construct an optimal portfolio,
which usually leads to a strong concentration of the weights on very few
assets. We propose a new way, based on generalised entropies, to ensure a
minimal degree of diversification.

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