%pylab inline
import pandas as pd
import fmt
Populating the interactive namespace from numpy and matplotlib
Use the dual objective discussed in class to solve the following maximum entropy optimization problems.
Find the the maximum entropy (ME) distribution without any prior distributions (equivalent to uniform priors) with the following constraints:
Hint:
Often times, we run into conflicting constraints in practice,
This exercise illustrates that error bounds improve the robustness of the ME method.
[open question] The asset allocation problem could be formulated as a maximum entropy optimization problem, if we view the dollar value of asset allocation as a distribution. Please give your thoughts on whether maximum entropy is a sensible objective function for solving the asset allocation problem.
Hint: compare maximum entropy with the standard mean/variance method of asset allocation. Please give very short and concise answers. (this question can be anwsered in no more than 2 sentences).
A classic problem of Shapley allocation is the glove game, where three players A, B, C each has a single glove of left, left and right hand. Assuming that one pair of gloves with left and right hand worth $1, and unpaired gloves are worthless.
Hints: