Tail Risk Constraints and Maximum Entropy

@article{Geman2015TailRC,
  title={Tail Risk Constraints and Maximum Entropy},
  author={Donald Geman and H{\'e}lyette Geman and Nassim Nicholas Taleb},
  journal={Entropy},
  year={2015},
  volume={17},
  pages={3724-3737}
}
Portfolio selection in the financial literature has essentially been analyzed under two central assumptions: full knowledge of the joint probability distribution of the returns of the securities that will comprise the target portfolio; and investors’ preferences are expressed through a utility function. In the real world, operators build portfolios under risk constraints which are expressed both by their clients and regulators and which bear on the maximal loss that may be generated over a… 

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