Pregled bibliografske jedinice broj: 1139197
Transfer entropy approach for portfolio optimization: an empirical approach for CESEE markets
Transfer entropy approach for portfolio optimization: an empirical approach for CESEE markets // Journal of risk and financial management, 14 (2021), 8; 369, 12 doi:10.3390/jrfm14080369 (međunarodna recenzija, članak, znanstveni)
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Naslov
Transfer entropy approach for portfolio
optimization:
an empirical approach for CESEE markets
Autori
Škrinjarić, Tihana ; Quintino, Derick ; Ferreira, Paulo
Izvornik
Journal of risk and financial management (1911-8066) 14
(2021), 8;
369, 12
Vrsta, podvrsta i kategorija rada
Radovi u časopisima, članak, znanstveni
Ključne riječi
Econophysics ; portfolio selection ; dynamic analysis ; stock markets
Sažetak
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.
Izvorni jezik
Engleski
Znanstvena područja
Matematika, Fizika, Ekonomija
Citiraj ovu publikaciju:
Časopis indeksira:
- Web of Science Core Collection (WoSCC)
- Emerging Sources Citation Index (ESCI)
