{"id":"W3011739043","doi":"10.3390/e22030332","title":"An Entropy-Based Approach to Portfolio Optimization","year":2020,"lang":"en","type":"article","venue":"Entropy","topic":"Market Dynamics and Volatility","field":"Economics, Econometrics and Finance","cited_by":53,"is_retracted":false,"has_abstract":true,"ca_institutions":"Royal Bank of Canada; York University","funders":"Natural Sciences and Engineering Research Council of Canada; York University","keywords":"Portfolio optimization; Portfolio; Mathematical optimization; Entropy (arrow of time); Computer science; Optimization problem; Post-modern portfolio theory; Modern portfolio theory; Rate of return on a portfolio; Mathematics; Econometrics; Replicating portfolio; Economics; Financial economics; Physics","routes":{"ca_aff":true,"ca_fund":true,"ca_venue":false,"about_ca":false,"invisible_to_affiliation_only":false},"retraction":null,"screen":null,"direct_labels":[],"prediction":{"model_version":"codex-gemma-dda1882f352a","candidate_categories":["insufficient_payload"],"consensus_categories":[],"category_scores_codex":[0.0002179213,0.0001293141,0.0002517424,0.0000879838,0.00006413059,0.0000880586,0.0002256044,0.0000645337,0.001191889],"category_scores_gemma":[0.00008721611,0.0001525309,0.00007885185,0.0002724245,0.00001553105,0.0001303929,0.0000281181,0.00009568165,0.0001241873],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0000544648,"about_ca_system_score_gemma":0.00001765827,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.00004116711,"about_ca_topic_score_gemma":6.930363e-7,"domain_scores_codex":[0.9988766,0.00001976583,0.00036974,0.0004572475,0.00004268504,0.0002339919],"domain_scores_gemma":[0.9992449,0.0000114775,0.0001360767,0.0003089184,0.00002485649,0.0002737142],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"theoretical_or_conceptual","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.0002222901,0.0005908367,0.2568513,0.00006509442,0.00005082046,0.000004773074,0.0005304118,0.3014748,0.0001415474,0.4350106,0.004542547,0.0005149538],"study_design_scores_gemma":[0.000389877,0.00009182055,0.003802119,0.000001340974,0.000003239596,2.123782e-7,0.00001455853,0.9786531,0.00002141798,0.001237837,0.01560613,0.0001783937],"study_design_candidate":"simulation_or_modeling","study_design_consensus":null,"genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.05018459,0.00007014784,0.9240597,0.001228005,0.0001554095,0.0003087049,0.0001364326,0.00008813402,0.02376891],"genre_scores_gemma":[0.9540488,0.000007692159,0.04343934,0.00206255,0.000164807,0.00002034828,0.0001381333,0.00002409158,0.00009430488],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.9038641,"threshold_uncertainty_score":0.9997212,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.02533226425264966,"score_gpt":0.2164420233719591,"score_spread":0.1911097591193094,"validation_status":"score_only:v0-immature-baseline","note":"Baseline scores from an immature model (maturity gate not passed). Scores rank; they never assert a category."}}