A higher order portfolio optimization model incorporating information entropy
This paper expands the model for higher-order moments (evolving into an MVSK model with skewness and kurtosis analysis) and compares it to the classic quadratic objective function of Markowitz. Along with the MVSK analysis, we add an information entropy variable to the model taking into account the...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2022-09-01
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| Series: | Intelligent Systems with Applications |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2667305322000394 |