An Entropy-Based Approach to Portfolio Optimization
This paper presents an improved method of applying entropy as a risk in portfolio optimization. A new family of portfolio optimization problems called the return-entropy portfolio optimization (REPO) is introduced that simplifies the computation of portfolio entropy using a combinatorial approach. R...
Main Authors: | Peter Joseph Mercurio, Yuehua Wu, Hong Xie |
---|---|
Format: | Article |
Language: | English |
Published: |
MDPI AG
2020-03-01
|
Series: | Entropy |
Subjects: | |
Online Access: | https://www.mdpi.com/1099-4300/22/3/332 |
Similar Items
-
Some aspects of financial instruments portfolio optimization
by: V.M. Oliynyk, et al.
Published: (2012-03-01) -
Markowitz Portfolio Theory and Capital Asset Pricing Model for Kuala Lumpur Stock Exchange: A Case Revisited
by: Hui-Shan Lee, et al.
Published: (2016-05-01) -
The Markowitz model for portfolio selection
by: MARIAN ZUBIA ZUBIAURRE, et al.
Published: (2002-06-01) -
Option Portfolio Selection with Generalized Entropic Portfolio Optimization
by: Peter Joseph Mercurio, et al.
Published: (2020-07-01) -
Portfolio Optimization for Binary Options Based on Relative Entropy
by: Peter Joseph Mercurio, et al.
Published: (2020-07-01)