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

In the context of investment decision-making, selection stocks is important for a successful construction portfolios. this paper expected utility, entropy and variance (EU-EV) model applied stock selection, which can be used as preselection mean–variance portfolio optimization problems. Based on EU-EV risk, are ranked best with lower risk selected in order to form subsets stocks, then construct The PSI 20 index, Euro Stoxx 50 index Nasdaq 100 index. Subsets analysed their portfolios’ efficiencies compared those portfolios obtained from whole set using model. results reveal that an adequate building up efficient number stocks.