Portfolio optimization with entropy measure

USTA İ., MERT KANTAR Y.

16th IASTED International Conference on Applied Simulation and Modelling, Palma de Mallorca, İspanya, 29 - 31 Ağustos 2007, ss.26-27 identifier identifier

  • Yayın Türü: Bildiri / Tam Metin Bildiri
  • Basıldığı Şehir: Palma de Mallorca
  • Basıldığı Ülke: İspanya
  • Sayfa Sayıları: ss.26-27
  • Anahtar Kelimeler: portfolio selection, optimization, maximum entropy (MaxEnt) principle
  • Anadolu Üniversitesi Adresli: Evet

Özet

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 (MaxEnt) principle is one of the efficient methods to find distribution of random variables. Thus, in this study, the maximum entropy (MaxEnt) principle is presented as an alternative method of determination of portfolios distribution. Beside, a numerical example is also presented to illustrate this principle.