Entropy 2014, 16(6), 3401-3415; doi:10.3390/e16063401

A Maximum Entropy Method for a Robust Portfolio Problem

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Received: 27 March 2014; in revised form: 9 June 2014 / Accepted: 17 June 2014 / Published: 20 June 2014
(This article belongs to the Special Issue Maximum Entropy and Its Application)
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.
Abstract: 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
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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.

AMA Style

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.

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