A Maximum Entropy Method for a Robust Portfolio Problem
AbstractWe 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.
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Xu, Y.; Wu, Z.; Jiang, L.; Song, X. A Maximum Entropy Method for a Robust Portfolio Problem. Entropy 2014, 16, 3401-3415.
Xu Y, Wu Z, Jiang L, Song X. A Maximum Entropy Method for a Robust Portfolio Problem. Entropy. 2014; 16(6):3401-3415.Chicago/Turabian Style
Xu, Yingying; Wu, Zhuwu; Jiang, Long; Song, Xuefeng. 2014. "A Maximum Entropy Method for a Robust Portfolio Problem." Entropy 16, no. 6: 3401-3415.