A Risk-Free Protection Index Model for Portfolio Selection with Entropy Constraint under an Uncertainty Framework

A Risk-Free Protection Index Model for Portfolio Selection with Entropy Constraint under an Uncertainty Framework

This paper aims to develop a risk-free protection index model for portfolio selection based on the uncertain theory. First, the returns of risk assets are assumed as uncertain variables and subject to reputable experts’ evaluations. Second, under this assumption, combining with the risk-free interes...

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Bibliographic Details
Main Authors: Jianwei Gao, Huicheng Liu
Format: Article
Language:English
Published: MDPI AG 2017-02-01
Series:Entropy
Subjects:
portfolio selection
risk free protection index
entropy constrain
uncertain variable
Online Access:http://www.mdpi.com/1099-4300/19/2/80

Internet

http://www.mdpi.com/1099-4300/19/2/80

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