Mean-variance-skewness-entropy measures: a multi-objective approach for portfolio selection
From MaRDI portal
Publication:657529
DOI10.3390/e13010117zbMath1229.90287OpenAlexW1981211029MaRDI QIDQ657529
Publication date: 9 January 2012
Published in: Entropy (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3390/e13010117
Applications of mathematical programming (90C90) Multi-objective and goal programming (90C29) Portfolio theory (91G10)
Related Items
A new fuzzy multi-objective higher order moment portfolio selection model for diversified portfolios, On the diversity constraints for portfolio optimization, Applications of entropy in finance: a review, Multiobjective portfolio optimization of ARMA-GARCH time series based on experimental designs, A multi-period constrained multi-objective evolutionary algorithm with orthogonal learning for solving the complex carbon neutral stock portfolio optimization model, An incremental-hybrid-Yager's entropy model for dynamic portfolio selection with fuzzy variable, DEA frontier improvement and portfolio rebalancing: an application of China mutual funds on considering sustainability information disclosure, A portfolio optimization model based on information entropy and fuzzy time series, ENHANCED INDEX TRACKING MODEL WITH ENTROPY MAXIMIZATION, Entropy based robust portfolio, Multi-period portfolio selection based on uncertainty theory with bankruptcy control and liquidity
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Maximum entropy autoregressive conditional heteroskedasticity model
- A nonlinear regression model with skew-normal errors
- The use of mixtures for dealing with non-normal regression errors
- Estimating classification error rate: repeated cross-validation, repeated hold-out and bootstrap
- Monte Carlo evidence on adaptive maximum likelihood estimation of a regression
- On adaptive estimation
- Parametric models for partially adaptive estimation with skewed and leptokurtic residuals
- Calculation of maximum entropy densities with application to income distribution
- Measuring the prediction error. A comparison of cross-validation, bootstrap and covariance penalty methods
- Partially adaptive robust estimation of regression models and applications
- Information Theory and Statistical Mechanics
- Partially adaptive estimation via the maximum entropy densities
- Partially Adaptive Estimation via Quantile Functions
- An efficient algorithm to compute maximum entropy densities
- A Skew Extension of the T-Distribution, with Applications
- A Comparison of Partially Adaptive and Reweighted Least Squares Estimation
- Model evaluation based on the sampling distribution of estimated absolute prediction error
