Indeterminacy in portfolio selection

DOI10.1016/J.EJOR.2004.01.006zbMATH Open1066.91051OpenAlexW1994036400MaRDI QIDQ704073FDOQ704073

Authors Maria Rosaria Simonelli 

Publication date 12 January 2005

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2004.01.006

zbMATH Keywords

Measure theoryPortfolio selection functionalsShannon's entropy of informationUncertainty modellingUtility theory

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 3591873 (Why is no real title available?)
• scientific article; zbMATH DE number 3062467 (Why is no real title available?)
• Soft computing in financial engineering

Cited in

(13)

• The normalized expected utility -- entropy and variance model for decisions under risk
• Multi-period portfolio selection problem under uncertain environment with bankruptcy constraint
• Entropy based robust portfolio
• Diversified portfolios with different entropy measures
• Portfolio selection based on distance between fuzzy variables
• Portfolio selection models based on Cross-entropy of uncertain variables
• A hybrid intelligent algorithm for portfolio selection problem with fuzzy returns
• A decision model based on expected utility, entropy and variance
• Portfolio selection with probabilistic utility
• Portfolio selection based on fuzzy cross-entropy
• Portfolio selection using \(\lambda\) mean and hybrid entropy
• Portfolio optimization using elliptic entropy and semi-entropy of coherent fuzzy numbers
• Portfolio optimization based on generalized information theoretic measures

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