Entropy model of a fuzzy random portfolio selection problem

Takashi Hasuike, Hideki Katagiri

Research output: Chapter in Book/Report/Conference proceedingChapter

Abstract

This paper considers an entropy model of portfolio selection problem with fuzzy random variables to future returns. Since standard mean-variance portfolio models suffer from some shortcomings, the entropy is introduced as a risk measure instead of variances to overcome the shortcomings. Furthermore, introducing the sum of entropy to each portfolio as well as the entropy of fuzzy random variables, the previous entropy-based fuzzy random portfolio selection problem is extended, the exact optimal portfolio is explicitly obtained using nonlinear programming such as Karush-Kuhn-Tucker condition.

Original languageEnglish
Title of host publicationIntelligent Decision Technologies
Subtitle of host publicationProceedings of the 4th International Conference on Intelligent Decision
EditorsJain Lakhmi, Howlett Robert, Watada Junzo, Watanabe Toyohide, Gloria Phillips-Wren
Pages195-203
Number of pages9
DOIs
Publication statusPublished - 2012 Dec 1

Publication series

NameSmart Innovation, Systems and Technologies
Volume15
ISSN (Print)2190-3018
ISSN (Electronic)2190-3026

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ASJC Scopus subject areas

  • Decision Sciences(all)
  • Computer Science(all)

Cite this

Hasuike, T., & Katagiri, H. (2012). Entropy model of a fuzzy random portfolio selection problem. In J. Lakhmi, H. Robert, W. Junzo, W. Toyohide, & G. Phillips-Wren (Eds.), Intelligent Decision Technologies: Proceedings of the 4th International Conference on Intelligent Decision (pp. 195-203). (Smart Innovation, Systems and Technologies; Vol. 15). https://doi.org/10.1007/978-3-642-29977-3_20