Diversified portfolios with different entropy measures

DOI10.1016/J.AMC.2014.04.006zbMath1335.91072OpenAlexW2024617909MaRDI QIDQ279248

Wan-Jiun Paul Chiou, Wen-Yi Lee, Jing-Rung Yu

Publication date: 27 April 2016

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2014.04.006

zbMATH Keywords

entropymultiple criteria analysistransaction costmultiple objective programmingportfolio selectionshort selling

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Multi-objective and goal programming (90C29) Portfolio theory (91G10)

Related Items (10)

A new fuzzy multi-objective higher order moment portfolio selection model for diversified portfolios ⋮ A multi-period fuzzy mean-minimax risk portfolio model with investor's risk attitude ⋮ Multiobjective portfolio optimization of ARMA-GARCH time series based on experimental designs ⋮ Information content of liquidity and volatility measures ⋮ An evolutionary algorithm for multiobjective fuzzy portfolio selection models with transaction cost and liquidity ⋮ Credibilistic mean-entropy models for multi-period portfolio selection with multi-choice aspiration levels ⋮ Financial time series analysis using Total-CApEn and Avg-CApEn with cumulative histogram matrix ⋮ An incremental-hybrid-Yager's entropy model for dynamic portfolio selection with fuzzy variable ⋮ DEA frontier improvement and portfolio rebalancing: an application of China mutual funds on considering sustainability information disclosure ⋮ Quantile-based optimal portfolio selection

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