Konu "Portfolio Selection" için İstatistik Bölümü listeleme
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Mean-Variance-Skewness-Entropy Measures: A Multi-Objective Approach for Portfolio Selection
(MDPI AG, 2011)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 ... -
Portfolio optimization with entropy measure
(Acta Press Anaheim, 2007)In portfolio management, the selection of portfolio weights has received considerable interest. Considering the expected return, risk and uncertainty, the portfolio distribution is to be determined. The maximum entropy ...