Issue: Số 25 - Tháng 9 - 2026Tài chính - Ngân hàng - Bảo hiểm
Stock portfolio optimization using minimum Rényi entropy
Published: October 3, 2026
Abstract
This study determines the investment weights of individual stocks in a portfolio with the objective of minimizing risk. The risk measures employed are Rényi entropy and traditional variance. Daily closing prices of selected stocks from January 1, 2021 to December 31, 2025 are used to determine the portfolio weights. The results generally show that the minimum Rényi entropy portfolio achieves higher realized returns than the minimum-variance portfolio over one-week, one-month, one-quarter, and six-month investment horizons.
Keywords
entropyportfoliorisk measure
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