### 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 language | English |
---|---|

Title of host publication | Smart Innovation, Systems and Technologies |

Pages | 195-203 |

Number of pages | 9 |

Volume | 15 |

DOIs | |

Publication status | Published - 2012 |

Externally published | Yes |

### Publication series

Name | Smart Innovation, Systems and Technologies |
---|---|

Volume | 15 |

ISSN (Print) | 21903018 |

ISSN (Electronic) | 21903026 |

### Fingerprint

### ASJC Scopus subject areas

- Computer Science(all)
- Decision Sciences(all)

### Cite this

*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.

Research output: Chapter in Book/Report/Conference proceeding › Chapter

*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

}

TY - CHAP

T1 - Entropy model of a fuzzy random portfolio selection problem

AU - Hasuike, Takashi

AU - Katagiri, Hideki

PY - 2012

Y1 - 2012

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

VL - 15

T3 - Smart Innovation, Systems and Technologies

SP - 195

EP - 203

BT - Smart Innovation, Systems and Technologies

ER -