A Maximum Entropy Method for a Robust Portfolio Problem

We propose a continuous maximum entropy method to investigate the robust optimal portfolio selection problem for the market with transaction costs and dividends. This robust model aims to maximize the worst-case portfolio return in the case that all of asset returns lie within some prescribed intervals. A numerical optimal solution to the problem is obtained by using a continuous maximum entropy method. Furthermore, some numerical experiments indicate that the robust model in this paper can result in better portfolio performance than a classical mean-variance model.