TY - CHAP

T1 - Entropy model of a fuzzy random portfolio selection problem

AU - Hasuike, Takashi

AU - Katagiri, Hideki

PY - 2012/12/1

Y1 - 2012/12/1

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=84879259752&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84879259752&partnerID=8YFLogxK

U2 - 10.1007/978-3-642-29977-3_20

DO - 10.1007/978-3-642-29977-3_20

M3 - Chapter

AN - SCOPUS:84879259752

SN - 9783642299766

T3 - Smart Innovation, Systems and Technologies

SP - 195

EP - 203

BT - Intelligent Decision Technologies

A2 - Lakhmi, Jain

A2 - Robert, Howlett

A2 - Junzo, Watada

A2 - Toyohide, Watanabe

A2 - Phillips-Wren, Gloria

ER -