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An Entropic Factor Model for Robust Portfolio Replication

20260 citationsPreprintgreen Open Access

Authors

Argimiro Arratia · Universitat Politècnica de Catalunya

Henryk Gzyl · Institute of Advanced Studies in Administration

Topics & Keywords

Risk and Portfolio Optimization Financial Markets and Investment Strategies Advanced Bandit Algorithms Research

UN Sustainable Development Goals

Peace, Justice and strong institutions

Publication Details

Published in: SSRN Electronic Journal

DOI: 10.2139/ssrn.6495765

An Entropic Factor Model for Robust Portfolio Replication | Researchclopedia