Mean-Variance-Skewness-Entropy Measures: A Multi-Objective Approach for Portfolio Selection
نویسندگان
چکیده
منابع مشابه
Mean-Variance-Skewness-Entropy Measures: A Multi-Objective Approach for Portfolio Selection
In this study, we present a multi-objective approach based on a mean-varianceskewness-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. Th...
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Article history: Received 21 August 2008 Accepted 4 May 2009 Available online 15 May 2009
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ژورنال
عنوان ژورنال: Entropy
سال: 2011
ISSN: 1099-4300
DOI: 10.3390/e13010117