Entropy-Based Portfolio Models: Practical Issues

被引：0
|
作者：
Shirazi, Yasaman Izadparast [1 ]
Sabiruzzaman, Md [2 ]
Hamzah, Nor Aishah [1 ]
机构：
[1] Univ Malaya, Fak Sains, Inst Sains Matemat, Kuala Lumpur 50603, Malaysia
[2] Rajshahi Univ, Dept Stat, Rajshahi 6205, Bangladesh
来源：
22ND NATIONAL SYMPOSIUM ON MATHEMATICAL SCIENCES (SKSM22) | 2015年 / 1682卷
关键词：
Entropy; Kernel density; Risk measure; Portfolio optimization; Diversified portfolio; CROSS-VALIDATION; BANDWIDTH MATRICES; DENSITY; SELECTION; CHOICE;
D O I：
10.1063/1.4932494
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
Entropy is a nonparametric alternative of variance and has been used as a measure of risk in portfolio analysis. In this paper, the computation of entropy risk for a given set of data is discussed with illustration. A comparison between entropy-based portfolio models is made. We propose a natural extension of the mean entropy portfolio to make it more general and diversified. In terms of performance, this new model is similar to the mean-entropy portfolio when applied to real and simulated data, and offers higher return if no constraint is set for the desired return; also it is found to be the most diversified portfolio model.
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页数：9
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