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dc.contributor.authorYu, Jing-Rungen_US
dc.contributor.authorLee, Wen-Yien_US
dc.contributor.authorChiou, Wan-Jiun Paulen_US
dc.date.accessioned2014-12-08T15:36:29Z-
dc.date.available2014-12-08T15:36:29Z-
dc.date.issued2014-08-15en_US
dc.identifier.issn0096-3003en_US
dc.identifier.urihttp://dx.doi.org/10.1016/j.amc.2014.04.006en_US
dc.identifier.urihttp://hdl.handle.net/11536/24829-
dc.description.abstractOne of the major issues for Markowitz mean-variance model is the errors in estimations cause "corner solutions" and low diversity in the portfolio. In this paper, we compare the mean-variance efficiency, realized portfolio values, and diversity of the models incorporating different entropy measures by applying multiple criteria method. Differing from previous studies, we evaluate twenty-three portfolio over-time rebalancing strategies with considering short-sales and various transaction costs in asset diversification. Using the data of the most liquid stocks in Taiwan\'s market, our finding shows that the models with Yager\'s entropy yield higher performance because they respond to the change in market by reallocating assets more effectively than those with Shannon\'s entropy and with the minimax disparity model. Furthermore, including entropy in models enhances diversity of the portfolios and makes asset allocation more feasible than the models without incorporating entropy. (C) 2014 Elsevier Inc. All rights reserved.en_US
dc.language.isoen_USen_US
dc.subjectMultiple criteria analysisen_US
dc.subjectMultiple objective programmingen_US
dc.subjectEntropyen_US
dc.subjectPortfolio selectionen_US
dc.subjectShort sellingen_US
dc.subjectTransaction costen_US
dc.titleDiversified portfolios with different entropy measuresen_US
dc.typeArticleen_US
dc.identifier.doi10.1016/j.amc.2014.04.006en_US
dc.identifier.journalAPPLIED MATHEMATICS AND COMPUTATIONen_US
dc.citation.volume241en_US
dc.citation.issueen_US
dc.citation.spage47en_US
dc.citation.epage63en_US
dc.contributor.department科技管理研究所zh_TW
dc.contributor.departmentInstitute of Management of Technologyen_US
dc.identifier.wosnumberWOS:000338734700008-
dc.citation.woscount0-
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