Mean-variance-skewness-entropy measures: a multi-objective approach for portfolio selection
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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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Cited in
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- A portfolio optimization model based on information entropy and fuzzy time series
- Entropy based robust portfolio
- Multi-period portfolio selection based on uncertainty theory with bankruptcy control and liquidity
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- Extreme risk decision modeling: a new approach with an application to air pollution based on PM2.5
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