Comparative study of information measures in portfolio optimization problems

3区 计算机科学 Q1 Computer Science Journal of Ambient Intelligence and Humanized Computing Pub Date : 2024-03-12 DOI:10.1007/s12652-024-04766-2
Luckshay Batra, H. C. Taneja
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Abstract

This paper presents a rich class of information theoretical measures designed to enhance the accuracy of portfolio risk assessments. The Mean-Variance model, pioneered by Harry Markowitz, revolutionized the financial sector as the first formal mathematical method to risk-averse investing in portfolio optimization theory. We analyze the effectiveness of this with the models that replace expected portfolio variance with measures of information (uncertainty of the portfolio allocations to the different assets) and five major practical issues. The empirical analysis is carried out on the historical data of Indian financial stock indices by application of portfolio optimization problem with information measures as the objective function and constraints derived from the return and the risk. Our findings indicate that the information measures with parameters can be used as an adequate supplement to traditional portfolio optimization models such as the mean-variance model.

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投资组合优化问题中的信息测量比较研究
本文介绍了一类丰富的信息理论措施,旨在提高投资组合风险评估的准确性。哈里-马科维茨(Harry Markowitz)首创的均值-方差模型,作为投资组合优化理论中第一种规避风险投资的正式数学方法,在金融领域掀起了一场革命。我们分析了用信息度量(不同资产投资组合配置的不确定性)取代预期投资组合方差的模型的有效性,以及五个主要的实际问题。实证分析以印度金融股票指数的历史数据为基础,以信息度量为目标函数,以收益和风险为约束条件,应用投资组合优化问题进行。我们的研究结果表明,带参数的信息量可作为均值-方差模型等传统投资组合优化模型的适当补充。
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来源期刊
Journal of Ambient Intelligence and Humanized Computing
Journal of Ambient Intelligence and Humanized Computing COMPUTER SCIENCE, ARTIFICIAL INTELLIGENCEC-COMPUTER SCIENCE, INFORMATION SYSTEMS
CiteScore
9.60
自引率
0.00%
发文量
854
期刊介绍: The purpose of JAIHC is to provide a high profile, leading edge forum for academics, industrial professionals, educators and policy makers involved in the field to contribute, to disseminate the most innovative researches and developments of all aspects of ambient intelligence and humanized computing, such as intelligent/smart objects, environments/spaces, and systems. The journal discusses various technical, safety, personal, social, physical, political, artistic and economic issues. The research topics covered by the journal are (but not limited to): Pervasive/Ubiquitous Computing and Applications Cognitive wireless sensor network Embedded Systems and Software Mobile Computing and Wireless Communications Next Generation Multimedia Systems Security, Privacy and Trust Service and Semantic Computing Advanced Networking Architectures Dependable, Reliable and Autonomic Computing Embedded Smart Agents Context awareness, social sensing and inference Multi modal interaction design Ergonomics and product prototyping Intelligent and self-organizing transportation networks & services Healthcare Systems Virtual Humans & Virtual Worlds Wearables sensors and actuators
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