Mean-variance-skewness-entropy measures: a multi-objective approach for portfolio selection

DOI10.3390/e13010117zbMath1229.90287OpenAlexW1981211029MaRDI QIDQ657529

Yeliz Mert Kantar, Ilhan Usta

Publication date: 9 January 2012

Published in: Entropy (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3390/e13010117

zbMATH Keywords

entropyskewnessportfolio selectionout-of-sample performanceportfolio performance measures

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Multi-objective and goal programming (90C29) Portfolio theory (91G10)

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