Author： Usta Ilhan Kantar Yeliz Mert
Publisher： MDPI
E-ISSN： 1099-4300|13|1|117-133
ISSN： 1099-4300
Source： Entropy, Vol.13, Iss.1, 2011-01, pp. : 117-133
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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.
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