Despite half a century of research, there is still no general agreement about the optimal approach to build a robust multi-period portfolio. We address this question by proposing the detrended cluster entropy approach to estimate the weights of a portfolio of high-frequency market indices. The information measure gathered from the markets produces reliable estimates of the weights at varying temporal horizons. The portfolio exhibits a high level of diversity, robustness and stability as not affected by the drawbacks of traditional mean-variance approaches.

中文翻译：

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通过去趋势移动平均聚类熵推断多期最优投资组合对统计物理和复杂性的焦点问题进展的贡献，由 Roberta Citro、Giorgio Kaniadakis、Claudio Guarcello、Antonio Maria Scarfone 和 Davide Valenti 编辑。

尽管进行了半个世纪的研究，但对于构​​建稳健的多期投资组合的最佳方法仍未达成普遍共识。我们通过提出去趋势聚类熵方法来估计高频市场指数投资组合的权重来解决这个问题。从市场收集的信息度量可对不同时间范围内的权重进行可靠估计。该投资组合表现出高度的多样性、稳健性和稳定性，不受传统均值方差方法的缺点的影响。