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

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

Department of Statistics, Science Faculty, Anadolu University, 26470 Eskisehir, Turkey
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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. View Full-Text
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 (CC BY 3.0).

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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.

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