engleski

Transfer entropy approach for portfolio optimization: an empirical approach for CESEE markets

In this paper, we deal with the possibility of using Econophysics concepts in dynamic portfolio optimization. The main idea of the research is that combining different methodological aspects to portfolio selection can enhance portfolio performance over time. Using data on CESEE stock market indices, we model the dynamics of entropy transfers from one return series to others. In the second step, the results are utilized in simulating the portfolio strategies that take into account the previous results. Here, the main results indicate that using entropy transfers in the portfolio construction and rebalancing has the potential in achieving better portfolio value over time when compared to benchmark strategies.

Econophysics ; portfolio selection ; dynamic analysis ; stock markets

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