Mean-variance-skewness-entropy measures: a multi-objective approach for portfolio selection
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Publication:657529
DOI10.3390/E13010117zbMATH Open1229.90287OpenAlexW1981211029MaRDI QIDQ657529FDOQ657529
Authors: Ilhan Usta, Y. Mert Kantar 
Publication date: 9 January 2012
Published in: Entropy (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3390/e13010117
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Multi-objective and goal programming (90C29) Applications of mathematical programming (90C90) Portfolio theory (91G10)
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Cited In (16)
- ENHANCED INDEX TRACKING MODEL WITH ENTROPY MAXIMIZATION
- An incremental-hybrid-Yager's entropy model for dynamic portfolio selection with fuzzy variable
- Multi-period portfolio selection based on uncertainty theory with bankruptcy control and liquidity
- Title not available (Why is that?)
- Applications of entropy in finance: a review
- On the diversity constraints for portfolio optimization
- DEA frontier improvement and portfolio rebalancing: an application of China mutual funds on considering sustainability information disclosure
- Portfolio selection using \(\lambda\) mean and hybrid entropy
- Multi objective mean-variance-skewness model with Burg's entropy and fuzzy return for portfolio optimization
- Multi-objective mean-variance-skewness model for portfolio optimization
- A multi-period constrained multi-objective evolutionary algorithm with orthogonal learning for solving the complex carbon neutral stock portfolio optimization model
- A portfolio optimization model based on information entropy and fuzzy time series
- Multiobjective portfolio optimization of ARMA-GARCH time series based on experimental designs
- Entropy based robust portfolio
- Portfolio performance evaluation in a mean--variance--skewness framework
- A new fuzzy multi-objective higher order moment portfolio selection model for diversified portfolios
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