Risk, return and international portfolio analysis: Entropy and linear belief functions
© Springer International Publishing Switzerland 2015. In this study, we analyze the international portfolio with respect to risk and return aspects.We applied entropy methods to find the optimal portfolio weights. In this method, we used entropy as the objective function and we also compared our res...
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th-cmuir.6653943832-543912018-09-04T10:12:48Z Risk, return and international portfolio analysis: Entropy and linear belief functions Apiwat Ayusuk Songsak Sriboonchitta Computer Science © Springer International Publishing Switzerland 2015. In this study, we analyze the international portfolio with respect to risk and return aspects.We applied entropy methods to find the optimal portfolio weights. In this method, we used entropy as the objective function and we also compared our results with the conventional method. Moreover, we use the linear belief function to build a portfolio, which can represent market information and financial knowledge and then we usematrix sweepings to integrate the knowledge for evaluating portfolio performance. Overall, our empirical analysis indicates that all entropy methods performed better than Markowitz method, and the finding also suggests that the investor should take the benefit from ASEAN market. 2018-09-04T10:12:48Z 2018-09-04T10:12:48Z 2015-01-01 Book Series 1860949X 2-s2.0-84919344195 10.1007/978-3-319-13449-9_22 https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84919344195&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/54391 |
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Computer Science Apiwat Ayusuk Songsak Sriboonchitta Risk, return and international portfolio analysis: Entropy and linear belief functions |
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© Springer International Publishing Switzerland 2015. In this study, we analyze the international portfolio with respect to risk and return aspects.We applied entropy methods to find the optimal portfolio weights. In this method, we used entropy as the objective function and we also compared our results with the conventional method. Moreover, we use the linear belief function to build a portfolio, which can represent market information and financial knowledge and then we usematrix sweepings to integrate the knowledge for evaluating portfolio performance. Overall, our empirical analysis indicates that all entropy methods performed better than Markowitz method, and the finding also suggests that the investor should take the benefit from ASEAN market. |
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Apiwat Ayusuk Songsak Sriboonchitta |
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Apiwat Ayusuk Songsak Sriboonchitta |
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Apiwat Ayusuk |
title |
Risk, return and international portfolio analysis: Entropy and linear belief functions |
title_short |
Risk, return and international portfolio analysis: Entropy and linear belief functions |
title_full |
Risk, return and international portfolio analysis: Entropy and linear belief functions |
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Risk, return and international portfolio analysis: Entropy and linear belief functions |
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Risk, return and international portfolio analysis: Entropy and linear belief functions |
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risk, return and international portfolio analysis: entropy and linear belief functions |
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2018 |
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https://www.scopus.com/inward/record.uri?partnerID=HzOxMe3b&scp=84919344195&origin=inward http://cmuir.cmu.ac.th/jspui/handle/6653943832/54391 |
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