Research on Probability Mean-Lower Semivariance-Entropy Portfolio Model with Background Risk

Table 6

Comparison of the entropy factors in portfolios under different risk attitudes.

k = 0.5	Entropy-containing	Return	0.0953	0.1129	0.1198	0.1249	0.1260
		Lower semivariance	0.0040	0.0053	0.0059	0.0063	0.0067
	No entropy	Return	0.1148	0.1212	0.1231	0.1257	0.1276
		Lower semivariance	0.0055	0.0060	0.0061	0.0065	0.0066
k = 1.0	Entropy-containing	Return	0.1011	0.1100	0.1149	0.1267	0.1327
		Lower semivariance	0.0144	0.0166	0.0182	0.0211	0.0233
	No entropy	Return	0.1145	0.1178	0.1179	0.1279	0.1283
		Lower semivariance	0.0178	0.0186	0.0189	0.0217	0.0224
k = 2.0	Entropy-containing	Return	0.1219	0.1230	0.1261	0.1321	0.1470
		Lower semivariance	0.0628	0.0647	0.0673	0.0735	0.0864
	No entropy	Return	0.1218	0.1245	0.1287	0.1485	0.1522
		Lower semivariance	0.0642	0.0653	0.0698	0.0865	0.0894