Portfolio selection using mean and hybrid entropy

DOI10.1007/S10479-009-0550-3MaRDI QIDQ635977zbMATH OpenOpenAlexFDO

Authors Xiaoyang Zhou, Desheng Dash Wu, Jiuping Xu

Publication date 25 August 2011

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10479-009-0550-3

zbMATH Keywords

optimizationfuzzy setportfolio selectionfuzzy random variabletriangular fuzzy numberprogramming\(\lambda\) meanhybrid entropy

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 4010155 (Why is no real title available?)
• A comparison of stochastic dominance and stochastic DEA for vendor evaluation
• A fuzzy goal programming approach to portfolio selection
• A measure of risk and a decision-making model based on expected utility and entropy
• A subjective approach for ranking fuzzy numbers
• Bayesian portfolio selection with multi-variate random variance models
• Comments on hybrid entropies
• Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach
• Fuzzy portfolio model for decision making in investment
• Fuzzy random variables
• Fuzzy stock selection using a new fuzzy ranking and weighting algorithm
• Indeterminacy in portfolio selection
• Multi-objective stochastic programming for portfolio selection
• Performance evaluation: An integrated method using data envelopment analysis and fuzzy preference relations
• Portfolio selection based on fuzzy probabilities and possibility distributions
• Portfolio selection under independent possibilistic information
• Possibilistic linear programming: A brief review of fuzzy mathematical programming and a comparison with stochastic programming in portfolio selection problem
• Risk curve and fuzzy portfolio selection
• Safety First and the Holding of Assets
• The \(\lambda\)-average value and the fuzzy expectation of a fuzzy random variable

Cited in

(6)

• Analysis of stock index with a generalized BN-S model: an approach based on machine learning and fuzzy parameters
• Applications of entropy in finance: a review
• On cumulative residual extropy of coherent and mixed systems
• An incremental-hybrid-Yager's entropy model for dynamic portfolio selection with fuzzy variable
• A novel fuzzy dominant goal programming for portfolio selection with systematic risk and non-systematic risk
• Elliptic entropy of uncertain random variables with application to portfolio selection

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