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 publicationSmart Innovation, Systems and Technologies
Pages195-203
Number of pages9
Volume15
DOIs
Publication statusPublished - 2012
Externally publishedYes

Publication series

NameSmart Innovation, Systems and Technologies
Volume15
ISSN (Print)21903018
ISSN (Electronic)21903026

Fingerprint

Entropy
Random variables
Nonlinear programming
Portfolio selection

ASJC Scopus subject areas

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

Cite this

Hasuike, T., & Katagiri, H. (2012). Entropy model of a fuzzy random portfolio selection problem. In Smart Innovation, Systems and Technologies (Vol. 15, pp. 195-203). (Smart Innovation, Systems and Technologies; Vol. 15). https://doi.org/10.1007/978-3-642-29977-3_20

Entropy model of a fuzzy random portfolio selection problem. / Hasuike, Takashi; Katagiri, Hideki.

Smart Innovation, Systems and Technologies. Vol. 15 2012. p. 195-203 (Smart Innovation, Systems and Technologies; Vol. 15).

Research output: Chapter in Book/Report/Conference proceedingChapter

Hasuike, T & Katagiri, H 2012, Entropy model of a fuzzy random portfolio selection problem. in Smart Innovation, Systems and Technologies. vol. 15, Smart Innovation, Systems and Technologies, vol. 15, pp. 195-203. https://doi.org/10.1007/978-3-642-29977-3_20
Hasuike T, Katagiri H. Entropy model of a fuzzy random portfolio selection problem. In Smart Innovation, Systems and Technologies. Vol. 15. 2012. p. 195-203. (Smart Innovation, Systems and Technologies). https://doi.org/10.1007/978-3-642-29977-3_20
Hasuike, Takashi ; Katagiri, Hideki. / Entropy model of a fuzzy random portfolio selection problem. Smart Innovation, Systems and Technologies. Vol. 15 2012. pp. 195-203 (Smart Innovation, Systems and Technologies).
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