Mean-Variance-Skewness-Entropy Measures: A Multi-Objective Approach for Portfolio Selection

被引：62
|
作者：
Usta, Ilhan [1 ]
Kantar, Yeliz Mert [1 ]
机构：
[1] Anadolu Univ, Dept Stat, Fac Sci, TR-26470 Eskisehir, Turkey
来源：
ENTROPY | 2011年 / 13卷 / 01期
关键词：
portfolio selection; entropy; skewness; portfolio performance measures; out-of-sample performance; DIVERSIFICATION; RISK; SHARPE; MODEL; RATIO;
D O I：
10.3390/e13010117
中图分类号：
O4 [物理学];
学科分类号：
0702 ;
摘要：
In this study, we present a multi-objective approach based on a mean-variance-skewness-entropy portfolio selection model (MVSEM). In this approach, an entropy measure is added to the mean-variance-skewness model (MVSM) to generate a well-diversified portfolio. Through a variety of empirical data sets, we evaluate the performance of the MVSEM in terms of several portfolio performance measures. The obtained results show that the MVSEM performs well out-of sample relative to traditional portfolio selection models.
引用
收藏
页码：117 / 133
页数：17
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