A portfolio stock selection model based on expected utility, entropy and variance

作者：

Highlights：

• A decision model for stock selection is proposed.

• The EU-EV model depends on expected utility, entropy and variance.

• The model is an adequate preselection model for portfolio optimization.

• The model can be used to reduce the number of stocks for efficient portfolios.

摘要

•A decision model for stock selection is proposed.•The EU-EV model depends on expected utility, entropy and variance.•The model is an adequate preselection model for portfolio optimization.•The model can be used to reduce the number of stocks for efficient portfolios.

论文关键词：Decision analysis,Portfolio optimization,Stock selection,Risk analysis,Expected utility,Entropy and variance model

论文评审过程：Received 4 March 2022, Revised 13 September 2022, Accepted 21 September 2022, Available online 27 September 2022, Version of Record 5 October 2022.

论文官网地址：https://doi.org/10.1016/j.eswa.2022.118896