An Entropy-Based Approach to Portfolio Optimization

This paper presents an improved method of applying entropy as a risk in portfolio optimization. A new family of portfolio optimization problems called the return-entropy portfolio optimization (REPO) is introduced that simplifies the computation of portfolio entropy using a combinatorial approach. R...

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Bibliographic Details
Published in:Entropy
Main Authors: Peter Joseph Mercurio, Yuehua Wu, Hong Xie
Format: Article
Language:English
Published: MDPI AG 2020-03-01
Subjects:
return entropy
portfolio optimization
entropy portfolio optimization
portfolio selection
markowitz mean variance
investment risk
modern portfolio theory
capital asset pricing model
diversification
Online Access:https://www.mdpi.com/1099-4300/22/3/332

Internet

https://www.mdpi.com/1099-4300/22/3/332

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