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

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.