Entropy Model of a Fuzzy Random Portfolio Selection Problem

2012 ◽  
pp. 195-203
Author(s):  
Takashi Hasuike ◽  
Hideki Katagiri
Keyword(s):  
Portfolio Selection ◽  
Selection Problem ◽  
Entropy Model ◽  
Portfolio Selection Problem ◽  
Fuzzy Random

Fuzzy Random λ-Mean SAD Portfolio Selection Problem: An Ant Colony Optimization Approach

2010 ◽  
Author(s):  
Gour Sundar Mitra Thakur ◽  
Rupak Bhattacharyya ◽  
Swapan Kumar Mitra ◽  
Swapan Paruya ◽  
Samarjit Kar ◽  
...  
Keyword(s):  
Ant Colony Optimization ◽  
Portfolio Selection ◽  
Ant Colony ◽  
Selection Problem ◽  
Optimization Approach ◽  
Portfolio Selection Problem ◽  
Fuzzy Random

scholarly journals Uncertain portfolio optimization problem with liquidity and diversification

2020 ◽  
Author(s):  
Ranran Zhang ◽  
Bo Li
Keyword(s):  
Portfolio Selection ◽  
Selection Problem ◽  
Investment Risk ◽  
Deterministic Models ◽  
Entropy Model ◽  
Portfolio Selection Problem ◽  
Uncertain Variables ◽  
Proposed Model ◽  
Portfolio Optimization Problem ◽  
Mean Variance

This paper deals with a portfolio selection problem with uncertain returns. Here, the returns of the assets are regarded as uncertain variables which are estimated by experienced experts. First, an uncertain mean-variance-entropy model for portfolio selection problem is presented by taking into account four criteria viz., return, risk, liquidity and diversification degree of portfolio. In the proposed model, the investment return is quantified by uncertain expected value, the investment risk is characterized by uncertain variance and entropy is used to measure the diversification degree of portfolio. Moreover, different from the previous bi-objective optimization model, our model achieves both the maximum return and the minimum risk in a single objective form by introducing a risk aversion factor and the dimensional influence caused by different units is eliminated by normalization. Then, two auxiliary portfolio selection models are transformed into different equivalent deterministic models. Finally, a numerical simulation is given to verify the practicability of our model.

A DOWNSIDE RISK APPROACH FOR THE PORTFOLIO SELECTION PROBLEM WITH FUZZY RETURNS

2004 ◽  
Vol 09 (01) ◽  
Author(s):  
Teresa León ◽  
Vicente Liern ◽  
Paulina Marco ◽  
Enriqueta Vercher ◽  
José Vicente Segura
Keyword(s):  
Portfolio Selection ◽  
Downside Risk ◽  
Selection Problem ◽  
Portfolio Selection Problem ◽  
Risk Approach
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