Entropiegesteuerte Portfolioselektion

Wilhelm Rödder (), Ivan R. Gartner () and Sandra Rudolph ()
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Wilhelm Rödder: FernUniversität in Hagen
Ivan R. Gartner: Universidade Metodista de Sao Paulo
Sandra Rudolph: FernUniversität in Hagen

A chapter in Intelligent Decision Support, 2008, pp 273-284 from Springer

Abstract: Abstract The classical approach of determining a portfolio of risky assets is that of Markowitz. Here the investor follows a Return/Risk rationality. I. e. he/she accepts only efficient portfolios in R/R space. The hitherto realized ‘maximization’ of the expected return and the ‘minimization’ of its respective variance will be overcome in this contribution by the consideration of shortfall risk and chance of return. The focus of our paper, however, is not the well-known ‘shortfall approach’ but yes, the use of the expert system shell SPIRIT to identify an appropriate portfolio. This shell works under Maximum Entropy and Minimum Relative Entropy, respectively. So it proposes a cautious combination of the risky assets and risk-free security, also considering the investor’s risk attitude. The good performance of the proposed method is demonstrated for a small portfolio of three DAX listed assets using a variant of the classical Capital Asset Pricing Model (CAPM).

Keywords: Portfolio Selection; CAPM; Shortfall; MinREnt Inference; Entropy; SPIRIT (search for similar items in EconPapers)
Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-8349-9777-7_16

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DOI: 10.1007/978-3-8349-9777-7_16

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