A maximum entropy method for a robust portfolio problem (Q296477)

Summary: We propose a continuous maximum entropy method to investigate the robustoptimal portfolio selection problem for the market with transaction costs and dividends. This robust model aims to maximize the worst-case portfolio return in the case that allof asset returns lie within some prescribed intervals. A numerical optimal solution tothe problem is obtained by using a continuous maximum entropy method. Furthermore,some numerical experiments indicate that the robust model in this paper can result in betterportfolio performance than a classical mean-variance model.