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Entropy 2011, 13(1), 117-133; doi:10.3390/e13010117
Article

Mean-Variance-Skewness-Entropy Measures: A Multi-Objective Approach for Portfolio Selection

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Received: 2 December 2010 / Revised: 22 December 2010 / Accepted: 29 December 2010 / Published: 12 January 2011
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Abstract

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 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. The obtained results show that the MVSEM performs well out-of sample relative to traditional portfolio selection models.
Keywords: portfolio selection; entropy; skewness; portfolio performance measures; out-of-sample performance portfolio selection; entropy; skewness; portfolio performance measures; out-of-sample performance
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

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Usta, I.; Kantar, Y.M. Mean-Variance-Skewness-Entropy Measures: A Multi-Objective Approach for Portfolio Selection. Entropy 2011, 13, 117-133.

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