Portfolio Optimization with a Mean-Entropy-Mutual Information Model

This paper describes a new model for portfolio optimization (PO), using entropy and mutual information instead of variance and covariance as measurements of risk. We also compare the performance in and out of sample of the original Markowitz model against the proposed model and against other state o...

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Detalles Bibliográficos
Autores principales: Novais, Rodrigo Gonçalves, Wanke, Peter, Antunes, Jorge, Tan, Yong
Formato: Online Artículo Texto
Lenguaje:English
Publicado: MDPI 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8947404/
https://www.ncbi.nlm.nih.gov/pubmed/35327880
http://dx.doi.org/10.3390/e24030369

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8947404/
https://www.ncbi.nlm.nih.gov/pubmed/35327880
http://dx.doi.org/10.3390/e24030369

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