Computation of mean-semivariance efficient sets by the Critical Line Algorithm
Annals of Operations Research
Chance constrained programming with fuzzy parameters
Fuzzy Sets and Systems
A note on chance constrained programming with fuzzy coefficients
Fuzzy Sets and Systems
A model for portfolio selection with order of expected returns
Computers and Operations Research
Theory and Practice of Uncertain Programming
Theory and Practice of Uncertain Programming
A survey of credibility theory
Fuzzy Optimization and Decision Making
Fuzzy portfolio optimization under downside risk measures
Fuzzy Sets and Systems
Fuzzy portfolio selection using genetic algorithm
Soft Computing - A Fusion of Foundations, Methodologies and Applications - Special issue on intelligent systems for financial engineering and computational finance
Asset portfolio optimization using fuzzy mathematical programming
Information Sciences: an International Journal
Risk curve and fuzzy portfolio selection
Computers & Mathematics with Applications
Mean-semivariance models for fuzzy portfolio selection
Journal of Computational and Applied Mathematics
Expected value of fuzzy variable and fuzzy expected value models
IEEE Transactions on Fuzzy Systems
Entropy of Credibility Distributions for Fuzzy Variables
IEEE Transactions on Fuzzy Systems
Mean-Entropy Models for Fuzzy Portfolio Selection
IEEE Transactions on Fuzzy Systems
A hybrid intelligent algorithm for portfolio selection problem with fuzzy returns
Journal of Computational and Applied Mathematics
Mean-Entropy-Skewness Fuzzy Portfolio Selection by Credibility Theory Approach
PReMI '09 Proceedings of the 3rd International Conference on Pattern Recognition and Machine Intelligence
Fuzzy multi-objective portfolio selection model with transaction costs
FUZZ-IEEE'09 Proceedings of the 18th international conference on Fuzzy Systems
A hybrid approach to asset allocation with simultaneous consideration of suitability and optimality
Information Sciences: an International Journal
A hybrid approach for constructing suitable and optimal portfolios
Expert Systems with Applications: An International Journal
Mean-risk model for uncertain portfolio selection
Fuzzy Optimization and Decision Making
Mean-variance models for portfolio selection subject to experts' estimations
Expert Systems with Applications: An International Journal
Cross-entropy measure of uncertain variables
Information Sciences: an International Journal
Fractional Liu process with application to finance
Mathematical and Computer Modelling: An International Journal
A risk index model for multi-period uncertain portfolio selection
Information Sciences: an International Journal
A risk index model for portfolio selection with returns subject to experts' estimations
Fuzzy Optimization and Decision Making
| Hi-index | 7.30 |
In this paper, the Kapur cross-entropy minimization model for portfolio selection problem is discussed under fuzzy environment, which minimizes the divergence of the fuzzy investment return from a priori one. First, three mathematical models are proposed by defining divergence as cross-entropy, average return as expected value and risk as variance, semivariance and chance of bad outcome, respectively. In order to solve these models under fuzzy environment, a hybrid intelligent algorithm is designed by integrating numerical integration, fuzzy simulation and genetic algorithm. Finally, several numerical examples are given to illustrate the modeling idea and the effectiveness of the proposed algorithm.