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

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

Department of Statistics, Science Faculty, Anadolu University, 26470 Eskisehir, Turkey
* Author to whom correspondence should be addressed.
Received: 2 December 2010; in revised form: 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

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MDPI and ACS Style

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

AMA Style

Usta I, Kantar YM. Mean-Variance-Skewness-Entropy Measures: A Multi-Objective Approach for Portfolio Selection. Entropy. 2011; 13(1):117-133.

Chicago/Turabian Style

Usta, Ilhan; Kantar, Yeliz Mert. 2011. "Mean-Variance-Skewness-Entropy Measures: A Multi-Objective Approach for Portfolio Selection." Entropy 13, no. 1: 117-133.

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