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20122025
most citedThe Morgan-Pitman Test of Equality of Variances and its Application to Machine Learning Model Evaluation and Selection

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math.OC2025

Portfolio optimization in incomplete markets and price constraints determined by maximum entropy in the mean

Argimiro Arratia, Henryk Gzyl

A solution to a portfolio optimization problem is always conditioned by constraints on the initial capital and the price of the available market assets. If a risk neutral measure i…