Portfolio selection based on relative entropy coherent risk measure

ZHENG Cheng-li, CHEN Yan

Systems Engineering - Theory & Practice ›› 2014, Vol. 34 ›› Issue (3) : 648-655.

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中国科学院数学与系统科学研究院期刊网
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Systems Engineering - Theory & Practice ›› 2014, Vol. 34 ›› Issue (3) : 648-655. DOI: 10.12011/1000-6788(2014)3-648

Portfolio selection based on relative entropy coherent risk measure

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{{article.zuoZheEn_L}}. {{article.title_en}}. Systems Engineering - Theory & Practice, 2014, 34(3): 648-655 https://doi.org/10.12011/1000-6788(2014)3-648

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