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A New Adaptive Entropy Portfolio Selection Model.

Ruidi Song1, Yue Chan1

  • 1Institute for Advanced Study, Shenzhen University, Shenzhen 518060, Guangdong, China.

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|December 8, 2020
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Summary
This summary is machine-generated.

This study introduces an adaptive entropy model (AEM) that enhances portfolio selection by improving decentralization and risk neutralization. The AEM offers greater adaptability to market fluctuations, balancing investment strategies for investors.

Keywords:
information entropyportfolio optimizationquantitative trading strategiesrisk measures

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Area of Science:

  • Quantitative Finance
  • Financial Modeling
  • Investment Management

Background:

  • Traditional Markowitz's mean-variance model (MVM) has limitations in adapting to market volatility.
  • Portfolio optimization requires balancing risk and return effectively.
  • Unsystematic risk neutralization is crucial for robust investment strategies.

Purpose of the Study:

  • To introduce an Adaptive Entropy Model (AEM) integrating entropy measurement and adaptability.
  • To enhance the conventional Markowitz's mean-variance model (MVM).
  • To evaluate the AEM's performance in portfolio optimization.

Main Methods:

  • Incorporation of entropy measurement and self-adaptation into MVM.
  • Performance evaluation using portfolio indicators.
  • Empirical analysis on the Shanghai Stock Exchange 50 (SSE50) index constituent stocks data (5-year).

Main Results:

  • AEM promotes investment decentralization, effectively neutralizing unsystematic risks.
  • The model demonstrates superior adaptability to market fluctuations compared to traditional methods.
  • AEM balances decentralized and concentrated investment strategies to meet investor expectations.

Conclusions:

  • The proposed Adaptive Entropy Model (AEM) offers a more robust and adaptable approach to portfolio optimization.
  • AEM is effective in mitigating unsystematic risks and adapting to market dynamics.
  • The model's applicability extends to portfolio optimizations in diverse financial markets.