Portfolio Optimization with a Mean-Entropy-Mutual Information Model
This paper describes a new model for portfolio optimization (PO), using entropy and mutual information instead of variance and covariance as measurements of risk. We also compare the performance in and out of sample of the original Markowitz model against the proposed model and against other state o...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-03-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1099-4300/24/3/369 |