Mean-variance-skewness-entropy measures: a multi-objective approach for portfolio selection (Q657529)
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English | Mean-variance-skewness-entropy measures: a multi-objective approach for portfolio selection |
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Mean-variance-skewness-entropy measures: a multi-objective approach for portfolio selection (English)
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9 January 2012
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Summary: 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.
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portfolio selection
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entropy
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skewness
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portfolio performance measures
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out-of-sample performance
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