In this thesis we investigate aspects of the theory of minimum relative entropy models (MRE in the sequel) within the class of exponential-family distributions. We use this technique for an application in portfolio management to compute Bayesian-like statistical features that incorporate fully general views on multivariate markets.
Essays in Minimum Relative Entropy implementations for views processing
2019
Abstract
In this thesis we investigate aspects of the theory of minimum relative entropy models (MRE in the sequel) within the class of exponential-family distributions. We use this technique for an application in portfolio management to compute Bayesian-like statistical features that incorporate fully general views on multivariate markets.File in questo prodotto:
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Utilizza questo identificativo per citare o creare un link a questo documento:
https://hdl.handle.net/20.500.14242/141714
Il codice NBN di questa tesi è
urn:nbn:it:unibo-25542