Journal
ENTROPY
Volume 15, Issue 11, Pages 4607-4621Publisher
MDPI AG
DOI: 10.3390/e15114607
Keywords
portfolio optimization; diversity constraint; norm; entropy
Categories
Funding
- National Science Council [99-2221-E-155-048-MY3, 102-2221-E-155-034-MY3]
Ask authors/readers for more resources
In the literature, Markowitz's mean-variance model and its variants have been shown to yield portfolios that put excessive weights on only a few assets. Many diversity constraints were proposed and added to these models to avoid such overly concentrated portfolios. However, since these diversity constraints are formulated differently, it becomes difficult to compare them and study their relationships. This paper proposes a canonical form for the commonly used diversity constraints in the literature, and shows how to transform these diversity constraints into this canonical form. Furthermore, this paper compares these diversity constraints (in the canonical form with the same upper bound) on their ability to shrink the feasible region of the portfolio optimization problem. The results show a subset relation among their feasible regions.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available