{"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":"metacan-v3-hybrid-931329e0061c","candidate_categories":[],"consensus_categories":[],"category_scores_codex":[0.002638591,0.001159518,0.001370302,0.0007888279,0.0003201017,0.001300917,0.001015915,0.0008743714,0.002031689],"category_scores_gemma":[0.005809132,0.0003942679,0.0009989205,0.0009011148,0.0009302039,0.001426441,0.001833603,0.001225276,0.0002839662],"about_ca_system_candidate":false,"about_ca_system_consensus":false,"about_ca_system_score_codex":0.0008394647,"about_ca_system_score_gemma":0.0007557502,"about_ca_topic_candidate":false,"about_ca_topic_consensus":false,"about_ca_topic_score_codex":0.001062989,"about_ca_topic_score_gemma":0.0009953072,"domain_scores_codex":[0.9983591,0.001038401,0.00005575527,0.0001262896,0.0003440312,0.00007635464],"domain_scores_gemma":[0.998451,0.001047746,0.00009826357,0.0001547109,0.0001732621,0.00007495566],"domain_codex":null,"domain_gemma":null,"domain_candidate":null,"domain_consensus":null,"study_design_codex":"simulation_or_modeling","study_design_gemma":"theoretical_or_conceptual","study_design_scores_codex":[0.00005678774,0.00004860654,0.0007200726,0.0001023235,0.0001487166,0.0001002456,0.00005040869,0.7920079,0.001337026,0.129985,0.00162431,0.07381876],"study_design_scores_gemma":[0.000008020783,0.00002871466,0.0001273142,0.000007678085,0.000008052007,0.00001871562,0.000003738757,0.9672778,0.0002441959,0.03142329,0.0008445274,0.00000804114],"study_design_candidate":"theoretical_or_conceptual","study_design_consensus":null,"genre_codex":"methods","genre_gemma":"empirical","genre_scores_codex":[0.01127543,0.0005484637,0.9847614,0.0002368631,0.000049644,0.0000462751,0.00002709289,0.0000926853,0.002962203],"genre_scores_gemma":[0.6231577,0.001382243,0.362894,0.0005322751,0.0003549458,0.0003940637,0.0002256261,0.0002179945,0.01084121],"genre_candidate":"empirical","genre_consensus":null,"teacher_disagreement_score":0.002638591,"threshold_uncertainty_score":0.0139544,"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."}}