Mean-Variance-Skewness-Entropy Measures: A Multi-Objective Approach for Portfolio Selection
Open Access
- 12 January 2011
- Vol. 13 (1), 117-133
- https://doi.org/10.3390/e13010117
Abstract
In this study, we present a multi-objective approach based on a mean-variance-skewness-entropy portfolio selection model (MVSEM). In this approach, an entropy measure is added to the mean-variance-skewness model (MVSM) to generate a well‑diversified portfolio. Through a variety of empirical data sets, we evaluate the performance of the MVSEM in terms of several portfolio performance measures. The obtained results show that the MVSEM performs well out-of sample relative to traditional portfolio selection models.This publication has 33 references indexed in Scilit:
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