期刊
JOURNAL OF RISK AND FINANCIAL MANAGEMENT
卷 14, 期 8, 页码 -出版社
MDPI
DOI: 10.3390/jrfm14080369
关键词
econophysics; portfolio selection; dynamic analysis; stock markets
资金
- Coordenacao de Aperfeicoamento de Pessoal de Nivel Superior-Brasil (CAPES) [001]
- MDPI
This paper explores the possibility of using econophysics concepts in dynamic portfolio optimization, showing that combining different methodological aspects can enhance portfolio performance. By modeling entropy transfers from one return series to others and utilizing these results in simulating portfolio strategies, it is found that using entropy transfers in portfolio construction and rebalancing has the potential to achieve better portfolio value compared to benchmark strategies over time.
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 in 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 portfolio construction and rebalancing has the potential to achieve better portfolio value over time when compared to benchmark strategies.
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