Mean-Entropy-Skewness Fuzzy Portfolio Selection by Credibility Theory Approach

Authors:
Rupak Bhattacharyya;Mohuya B. Kar;Samarjit Kar;Dwijesh Dutta Majumder
Affiliations:
Department of Mathematics, National Institute of Technology, Durgapur, India 713209;Department of C.S.E., Heritage Institute of Technology, Kolkata, India 107;Department of Mathematics, National Institute of Technology, Durgapur, India 713209;Electronics & Communication Science Unit, Indian Statistical Institute, Kolkata, India 108
Venue:
PReMI '09 Proceedings of the 3rd International Conference on Pattern Recognition and Machine Intelligence
Year:
2009

Citing 6
Cited 1

Possibilistic linear programming: a brief review of fuzzy mathematical programming and a comparison with stochastic programming in portfolio selection problem

Fuzzy Sets and Systems - Fuzzy mathematical programming
Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach

Management Science
Mean-semivariance models for fuzzy portfolio selection

Journal of Computational and Applied Mathematics
Portfolio selection based on fuzzy cross-entropy

Journal of Computational and Applied Mathematics
Entropy of Credibility Distributions for Fuzzy Variables

IEEE Transactions on Fuzzy Systems
Mean-Entropy Models for Fuzzy Portfolio Selection

IEEE Transactions on Fuzzy Systems

Fuzzy mean-variance-skewness portfolio selection models by interval analysis

Computers & Mathematics with Applications

Quantified Score

Hi-index	0.00

Visualization

Abstract

In this paper fuzzy mean-entropy-skewness models are proposed for optimal portfolio selection. Entropy is favored as a measure of risk as it is free from dependence on symmetric probability distribution. Credibility theory is applied to evaluate fuzzy mean, skewness and entropy. Hybrid intelligence algorithm is used for simulation. Numerical examples are given in favor of each of the models.