An Automated Decision Support System for Portfolio Allocation Based on Mutual Information and Financial Criteria

An Automated Decision Support System for Portfolio Allocation Based on Mutual Information and Financial Criteria

This paper introduces a two-phase decision support system based on information theory and financial practices to assist investors in solving cardinality-constrained portfolio optimization problems. Firstly, the approach employs a stock-picking procedure based on an interactive multi-criteria decisio...

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Bibliographic Details
Main Authors: Massimiliano Kaucic, Renato Pelessoni, Filippo Piccotto
Format: Article
Language:English
Published: MDPI AG 2025-04-01
Series:Entropy
Subjects:
mutual information
portfolio optimization
risk budgeting
DISH-XX
knowledge-based financial management system
Online Access:https://www.mdpi.com/1099-4300/27/5/480
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