Properties of Risk Measures of Generalized Entropy in Portfolio Selection
This paper systematically investigates the properties of six kinds of entropy-based risk measures: Information Entropy and Cumulative Residual Entropy in the probability space, Fuzzy Entropy, Credibility Entropy and Sine Entropy in the fuzzy space, and Hybrid Entropy in the hybridized uncertainty of...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2017-12-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1099-4300/19/12/657 |