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Entropiegesteuerte Portfolioselektion

In: Intelligent Decision Support

Author

Listed:
  • Wilhelm Rödder

    (FernUniversität in Hagen)

  • Ivan R. Gartner

    (Universidade Metodista de Sao Paulo)

  • Sandra Rudolph

    (FernUniversität in Hagen)

Abstract

The classical approach of determining a portfolio of risky assets is that of Markowitz. Here the investor follows a Return/Risk rationality. I. e. he/she accepts only efficient portfolios in R/R space. The hitherto realized ‘maximization’ of the expected return and the ‘minimization’ of its respective variance will be overcome in this contribution by the consideration of shortfall risk and chance of return. The focus of our paper, however, is not the well-known ‘shortfall approach’ but yes, the use of the expert system shell SPIRIT to identify an appropriate portfolio. This shell works under Maximum Entropy and Minimum Relative Entropy, respectively. So it proposes a cautious combination of the risky assets and risk-free security, also considering the investor’s risk attitude. The good performance of the proposed method is demonstrated for a small portfolio of three DAX listed assets using a variant of the classical Capital Asset Pricing Model (CAPM).

Suggested Citation

  • Wilhelm Rödder & Ivan R. Gartner & Sandra Rudolph, 2008. "Entropiegesteuerte Portfolioselektion," Springer Books, in: Andreas Bortfeldt & Jörg Homberger & Herbert Kopfer & Giselher Pankratz & Reinhard Strangmeier (ed.), Intelligent Decision Support, pages 273-284, Springer.
    • Handle: RePEc:spr:sprchp:978-3-8349-9777-7_16
    DOI: 10.1007/978-3-8349-9777-7_16
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