Next Article in Journal
Identifying the Coupling Structure in Complex Systems through the Optimal Causation Entropy Principle
Next Article in Special Issue
Duality of Maximum Entropy and Minimum Divergence
Previous Article in Journal
Coarse Dynamics for Coarse Modeling: An Example From Population Biology
Previous Article in Special Issue
Density Reconstructions with Errors in the Data
Entropy 2014, 16(6), 3401-3415; doi:10.3390/e16063401

A Maximum Entropy Method for a Robust Portfolio Problem

1,2,* , 1
Received: 27 March 2014 / Revised: 9 June 2014 / Accepted: 17 June 2014 / Published: 20 June 2014
(This article belongs to the Special Issue Maximum Entropy and Its Application)
View Full-Text   |   Download PDF [247 KB, uploaded 24 February 2015]   |   Browse Figures


We propose a continuous maximum entropy method to investigate the robustoptimal portfolio selection problem for the market with transaction costs and dividends.This robust model aims to maximize the worst-case portfolio return in the case that allof asset returns lie within some prescribed intervals. A numerical optimal solution tothe problem is obtained by using a continuous maximum entropy method. Furthermore,some numerical experiments indicate that the robust model in this paper can result in betterportfolio performance than a classical mean-variance model.
Keywords: portfolio selection; efficient frontier; maximum entropy; transaction costs portfolio selection; efficient frontier; maximum entropy; transaction costs
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.

Share & Cite This Article

Further Mendeley | CiteULike
Export to BibTeX |
MDPI and ACS Style

Xu, Y.; Wu, Z.; Jiang, L.; Song, X. A Maximum Entropy Method for a Robust Portfolio Problem. Entropy 2014, 16, 3401-3415.

View more citation formats

Related Articles

Article Metrics

For more information on the journal, click here


Cited By

[Return to top]
Entropy EISSN 1099-4300 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert