A Maximum Entropy Method for a Robust Portfolio Problem

A Maximum Entropy Method for a Robust Portfolio Problem

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...

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Bibliographic Details
Main Authors: Yingying Xu, Zhuwu Wu, Long Jiang, Xuefeng Song
Format: Article
Language:English
Published: MDPI AG 2014-06-01
Series:Entropy
Subjects:
portfolio selection
efficient frontier
maximum entropy
transaction costs
Online Access:http://www.mdpi.com/1099-4300/16/6/3401

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