Mean-Entropy Models for Fuzzy Portfolio Selection

Authors:
Xiaoxia Huang
Affiliations:
Sch. of Econ. & Manage., Univ. of Sci. & Technol. Beijing, Beijing
Venue:
IEEE Transactions on Fuzzy Systems
Year:
2008

Citing 0
Cited 11

Portfolio selection based on fuzzy cross-entropy

Journal of Computational and Applied Mathematics
A hybrid intelligent algorithm for portfolio selection problem with fuzzy returns

Journal of Computational and Applied Mathematics
A review of credibilistic portfolio selection

Fuzzy Optimization and Decision Making
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
Fuzzy portfolio selection based on value-at-risk

SMC'09 Proceedings of the 2009 IEEE international conference on Systems, Man and Cybernetics
Application notes: dynamic physical behavior analysis for financial trading decision support

IEEE Computational Intelligence Magazine
A new MOPSO to solve a multi-objective portfolio selection model with fuzzy value-at-risk

KES'11 Proceedings of the 15th international conference on Knowledge-based and intelligent information and engineering systems - Volume Part III
Mean-Entropy model for portfolio selection with type-2 fuzzy returns

ICIC'11 Proceedings of the 7th international conference on Intelligent Computing: bio-inspired computing and applications
Some properties of T-independent fuzzy variables

Mathematical and Computer Modelling: An International Journal
Fuzzy multi-period portfolio selection optimization models using multiple criteria

Automatica (Journal of IFAC)

Quantified Score

Hi-index	0.00

Visualization

Abstract

This short paper proposes two types of credibility-based fuzzy mean-entropy models. In the short paper, entropy is used as the measure of risk. The smaller the entropy value is, the less uncertainty the portfolio return contains, and thus, the safer the portfolio is. Furthermore, as a measure of risk, entropy is free from reliance on symmetrical distributions of security returns and can be computed from nonmetric data. In addition, the short paper compares the fuzzy mean-variance model with the fuzzy mean-entropy model in two special cases and presents a hybrid intelligent algorithm for solving the proposed models in general cases. To illustrate the effectiveness of the proposed algorithm, the short paper also provides two numerical examples.