Entropy model of a fuzzy random portfolio selection problem

Takashi Hasuike*, Hideki Katagiri

*この研究の対応する著者

研究成果: Chapter

抄録

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.

本文言語English
ホスト出版物のタイトルIntelligent Decision Technologies
ホスト出版物のサブタイトルProceedings of the 4th International Conference on Intelligent Decision
編集者Jain Lakhmi, Howlett Robert, Watada Junzo, Watanabe Toyohide, Gloria Phillips-Wren
ページ195-203
ページ数9
DOI
出版ステータスPublished - 2012 12月 1
外部発表はい

出版物シリーズ

名前Smart Innovation, Systems and Technologies
15
ISSN(印刷版)2190-3018
ISSN(電子版)2190-3026

ASJC Scopus subject areas

  • 決定科学(全般)
  • コンピュータ サイエンス(全般)

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