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

A Maximum Entropy Method for a Robust Portfolio Problem

1
School of Science, China University of Mining and Technology, Xuzhou 221116, China
2
School of Management, China University of Mining and Technology, Xuzhou 221116, China
*
Author to whom correspondence should be addressed.
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)
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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. View Full-Text
Keywords: portfolio selection; efficient frontier; maximum entropy; transaction costs portfolio selection; efficient frontier; maximum entropy; transaction costs
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This is an open access article distributed under the Creative Commons Attribution License (CC BY 3.0).

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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.

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