Portfolio Optimization Model with Risk Measure of Mean-Variance Hybrid-Entropy

Using the concept of credibility measure, this paper proposes a mean-variance hybrid-entropy model which measures the risk of local deviation from the mean as well as the risk of overall deviation from the uniform distribution for portfolio selection.The empirical results show that the mean-variance hybrid-entropy model performs more steady and efficient than those models which only hires variance or hybrid entropy as the risk index.Additionally, the empirical analyses also indicates that the traditionally mean-variance model is less efficient when compared with the 1/N portfolio strategy.
Hybrid entropy Portfolio selection Credibility measure Multi-objective GA
Rongxi Zhou Di Wang
School of Economics and Management, Beijing University of Chemical Technology, Beijing, 100029
国内会议
长春
英文
147-153
2015-07-25(万方平台首次上网日期,不代表论文的发表时间)