Portfolio Selection in the Credibilistic Framework Using Renyi Entropy and Renyi Cross Entropy

被引：5

作者：

Yari, Gholanhossein ^{[1
]}

Sajedi, Alireza ^{[1
]}

Rahimi, Mohamadtaghi ^{[2
]}

机构：

[1] Islamic Azad Univ, Sci & Res Branch, Dept Stat, Tehran, Iran

[2] Iran Univ Sci & Technol, Dept Math, Tehran, Iran

来源：

INTERNATIONAL JOURNAL OF FUZZY LOGIC AND INTELLIGENT SYSTEMS | 2018年 / 18卷 / 01期

关键词：

Portfolio selection; Credibility theory; Renyi entropy; Renyi cross entropy;

D O I：

10.5391/IJFIS.2018.18.1.78

中图分类号：

TP301 [理论、方法];

学科分类号：

081202 ;

摘要：

In this study, the Renyi entropy-mean-variance maximization and Renyi cross entropy-mean-variance minimization models for portfolio selection with fuzzy return were investigated under the credibility theory framework. We also attempted to examine the relationship between credibilistic Renyi entropy-mean-variance and Renyi cross entropy-mean-variance models. The effect of the v parameter in Renyi entropy and Renyi cross entropy on optimal portfolio selection was considered using the presented models.

引用

页码：78 / 83

页数：6

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