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A. Khosravi

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Open access 2026

Multi-Period Portfolio Optimization Under Uncertainty using Diversification Measure

The Robust Mean-Variance Entropy model seeks to control the risk arising from estimation error by employing robust optimization, and aims to increase the diversification of the optimal portfolio by preventing concentrated allocations by incorporating Yager's entropy as a diversification measure.

A. Khosravi · 0 citations

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