Entropy-Based Portfolio Models: Practical Issues

被引：0

作者：

Shirazi, Yasaman Izadparast ^{[1
]}

Sabiruzzaman, Md ^{[2
]}

Hamzah, Nor Aishah ^{[1
]}

机构：

[1] Univ Malaya, Fak Sains, Inst Sains Matemat, Kuala Lumpur 50603, Malaysia

[2] Rajshahi Univ, Dept Stat, Rajshahi 6205, Bangladesh

来源：

22ND NATIONAL SYMPOSIUM ON MATHEMATICAL SCIENCES (SKSM22) | 2015年 / 1682卷

关键词：

Entropy; Kernel density; Risk measure; Portfolio optimization; Diversified portfolio; CROSS-VALIDATION; BANDWIDTH MATRICES; DENSITY; SELECTION; CHOICE;

D O I：

10.1063/1.4932494

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

Entropy is a nonparametric alternative of variance and has been used as a measure of risk in portfolio analysis. In this paper, the computation of entropy risk for a given set of data is discussed with illustration. A comparison between entropy-based portfolio models is made. We propose a natural extension of the mean entropy portfolio to make it more general and diversified. In terms of performance, this new model is similar to the mean-entropy portfolio when applied to real and simulated data, and offers higher return if no constraint is set for the desired return; also it is found to be the most diversified portfolio model.

引用

页数：9

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