Semi entropy of uncertain random variables and its application to portfolio selection

被引：2
|
作者：
Gao Jin-wu [1 ]
Ahmadzade, Hamed [2 ]
Farahikia, Mehran [3 ,4 ]
机构：
[1] Ocean Univ China, Sch Econ, Qingdao 266100, Peoples R China
[2] Univ Sistan & Baluchestan, Dept Math Sci, Zahedan, Iran
[3] Payame Noor Univ, Dept Stat, Tehran 193954697, Iran
[4] Ayandeh Bank, 1 Ahmad Ghasir Bokharest St,Argentina Sq, Tehran, Iran
来源：
APPLIED MATHEMATICS-A JOURNAL OF CHINESE UNIVERSITIES SERIES B | 2022年 / 37卷 / 03期
关键词：
chance theory; uncertain random variable; semi entropy; portfolio selection; Monte-Carlo simulation; CROSS-ENTROPY;
D O I：
10.1007/s11766-022-4106-5
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
Semi entropy is a measure to characterize the indeterminacy of the uncertain random variable considering the values of the uncertain random variable which are lower than the mean. As important roles of semi entropy in finance, this paper presents the concept of semi entropy for uncertain random variables. In order to compute semi entropy for uncertain random variables, Monte-Carlo approach is provided. As an application of semi entropy, portfolio selection problems are optimized based on mean-semi entropy mode.
引用
收藏
页码：383 / 395
页数：13
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