Mean-Variance-Skewness-Entropy Measures: A Multi-Objective Approach for Portfolio Selection

Mean-Variance-Skewness-Entropy Measures: A Multi-Objective Approach for Portfolio Selection

In this study, 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 set...

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Bibliographic Details
Main Authors: Yeliz Mert Kantar, Ilhan Usta
Format: Article
Language:English
Published: MDPI AG 2011-01-01
Series:Entropy
Subjects:
portfolio selection
entropy
skewness
portfolio performance measures
out-of-sample performance
Online Access:http://www.mdpi.com/1099-4300/13/1/117/

Internet

http://www.mdpi.com/1099-4300/13/1/117/

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