A Mean-Variance Hybrid-Entropy Model for Portfolio Selection with Fuzzy Returns

A Mean-Variance Hybrid-Entropy Model for Portfolio Selection with Fuzzy Returns

In this paper, we define the portfolio return as fuzzy average yield and risk as hybrid-entropy and variance to deal with the portfolio selection problem with both random uncertainty and fuzzy uncertainty, and propose a mean-variance hybrid-entropy model (MVHEM). A multi-objective genetic algorithm...

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Bibliographic Details
Main Authors: Rongxi Zhou, Yu Zhan, Ru Cai, Guanqun Tong
Format: Article
Language:English
Published: MDPI AG 2015-05-01
Series:Entropy
Subjects:
portfolio selection
fuzzy returns
hybrid entropy
multi-objective genetic algorithm
Markov prediction
Online Access:http://www.mdpi.com/1099-4300/17/5/3319

Internet

http://www.mdpi.com/1099-4300/17/5/3319

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