Fuzzy cross-entropy, mean, variance, skewness models for portfolio selection
In this paper, fuzzy stock portfolio selection models that maximize mean and skewness as well as minimize portfolio variance and cross-entropy are proposed. Because returns are typically asymmetric, in addition to typical mean and variance considerations, third order moment skewness is also consider...
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doaj-f47f20c3e90148958584395e252fd6632020-11-24T23:02:41ZengElsevierJournal of King Saud University: Computer and Information Sciences1319-15782014-01-01261798710.1016/j.jksuci.2013.04.001Fuzzy cross-entropy, mean, variance, skewness models for portfolio selectionRupak Bhattacharyya0Sheikh Ahmed Hossain1Samarjit Kar2Department of Applied Science and Humanities, Global Institute of Management and Technology, Krishnagar, Nadia 741102, IndiaDepartment of Mathematics, Purash Kanpur Haridas Nandi Mahavidyalaya, Howrah 711410, IndiaDepartment of Mathematics, National Institute of Technology, Durgapur 713209, IndiaIn this paper, fuzzy stock portfolio selection models that maximize mean and skewness as well as minimize portfolio variance and cross-entropy are proposed. Because returns are typically asymmetric, in addition to typical mean and variance considerations, third order moment skewness is also considered in generating a larger payoff. Cross-entropy is used to quantify the level of discrimination in a return for a given satisfactory return value. As returns are uncertain, stock returns are considered triangular fuzzy numbers. Stock price data from the Bombay Stock Exchange are used to illustrate the effectiveness of the proposed model. The solutions are done by genetic algorithms.http://www.sciencedirect.com/science/article/pii/S1319157813000128Fuzzy stock portfolio selection problemFuzzy cross-entropyTriangular fuzzy numberGenetic algorithm |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Rupak Bhattacharyya Sheikh Ahmed Hossain Samarjit Kar |
spellingShingle |
Rupak Bhattacharyya Sheikh Ahmed Hossain Samarjit Kar Fuzzy cross-entropy, mean, variance, skewness models for portfolio selection Journal of King Saud University: Computer and Information Sciences Fuzzy stock portfolio selection problem Fuzzy cross-entropy Triangular fuzzy number Genetic algorithm |
author_facet |
Rupak Bhattacharyya Sheikh Ahmed Hossain Samarjit Kar |
author_sort |
Rupak Bhattacharyya |
title |
Fuzzy cross-entropy, mean, variance, skewness models for portfolio selection |
title_short |
Fuzzy cross-entropy, mean, variance, skewness models for portfolio selection |
title_full |
Fuzzy cross-entropy, mean, variance, skewness models for portfolio selection |
title_fullStr |
Fuzzy cross-entropy, mean, variance, skewness models for portfolio selection |
title_full_unstemmed |
Fuzzy cross-entropy, mean, variance, skewness models for portfolio selection |
title_sort |
fuzzy cross-entropy, mean, variance, skewness models for portfolio selection |
publisher |
Elsevier |
series |
Journal of King Saud University: Computer and Information Sciences |
issn |
1319-1578 |
publishDate |
2014-01-01 |
description |
In this paper, fuzzy stock portfolio selection models that maximize mean and skewness as well as minimize portfolio variance and cross-entropy are proposed. Because returns are typically asymmetric, in addition to typical mean and variance considerations, third order moment skewness is also considered in generating a larger payoff. Cross-entropy is used to quantify the level of discrimination in a return for a given satisfactory return value. As returns are uncertain, stock returns are considered triangular fuzzy numbers. Stock price data from the Bombay Stock Exchange are used to illustrate the effectiveness of the proposed model. The solutions are done by genetic algorithms. |
topic |
Fuzzy stock portfolio selection problem Fuzzy cross-entropy Triangular fuzzy number Genetic algorithm |
url |
http://www.sciencedirect.com/science/article/pii/S1319157813000128 |
work_keys_str_mv |
AT rupakbhattacharyya fuzzycrossentropymeanvarianceskewnessmodelsforportfolioselection AT sheikhahmedhossain fuzzycrossentropymeanvarianceskewnessmodelsforportfolioselection AT samarjitkar fuzzycrossentropymeanvarianceskewnessmodelsforportfolioselection |
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1725635549043097600 |