{"id":"W3044015367","doi":"10.3390/e22080805","title":"Option Portfolio Selection with Generalized Entropic Portfolio Optimization","year":2020,"lang":"en","type":"article","venue":"Entropy","topic":"Risk and Portfolio Optimization","field":"Decision Sciences","cited_by":4,"is_retracted":false,"has_abstract":true,"ca_institutions":"Royal Bank of Canada; York University","funders":"Natural Sciences and Engineering Research Council of Canada; Oracle","keywords":"Portfolio; Portfolio optimization; Mathematical optimization; Selection (genetic algorithm); Computer science; Post-modern portfolio theory; Entropy (arrow of time); Modern portfolio theory; Optimization problem; Replicating portfolio; Econometrics; Economics; Mathematics; Financial economics; Artificial intelligence","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":[0.0004521116,0.0002774673,0.0003923176,0.0002994707,0.0002494026,0.0003967182,0.0003914466,0.0001344434,0.002874245],"category_scores_gemma":[0.0004185694,0.0002068997,0.0001307362,0.001968374,0.00006246343,0.0008115672,0.00005490294,0.0001862434,0.0003838548],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.00007163119,"about_ca_system_score_gemma":0.0001409898,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.00003804886,"about_ca_topic_score_gemma":0.000005224867,"domain_scores_codex":[0.9964098,0.0002284257,0.0007885616,0.0007478645,0.00143427,0.0003911134],"domain_scores_gemma":[0.9981664,0.00008010902,0.0005538485,0.0003573108,0.0005062697,0.0003360031],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"simulation_or_modeling","study_design_gemma":"simulation_or_modeling","study_design_scores_codex":[0.0003725084,0.000067093,0.03285416,0.000002469312,0.00004135305,0.00002261285,0.0002923288,0.9291428,0.001000229,0.01251732,0.0182818,0.005405355],"study_design_scores_gemma":[0.002403514,0.0005651531,0.006533218,0.00001057017,0.00009088299,0.00004964721,0.0001948209,0.9103124,0.002836094,0.002313176,0.07417102,0.0005195758],"study_design_candidate":"simulation_or_modeling","study_design_consensus":"simulation_or_modeling","genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.1049196,0.0001292212,0.8883622,0.002016974,0.000346258,0.000473032,0.0000097126,0.0002646638,0.003478286],"genre_scores_gemma":[0.9318736,0.0006600102,0.06265968,0.001452192,0.0009264057,0.0000381497,0.0001406792,0.00005502031,0.002194287],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.8269539,"threshold_uncertainty_score":0.9980373,"prediction_status":"machine_predicted_unvalidated"},"machine_scores":{"provisional":true,"baseline":true,"maturity_gate_passed":false,"score_opus":0.05251601547229127,"score_gpt":0.3106451233655948,"score_spread":0.2581291078933035,"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."}}