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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Bibliographic Details
Main Authors: Rupak Bhattacharyya, Sheikh Ahmed Hossain, Samarjit Kar
Format: Article
Language:English
Published: Elsevier 2014-01-01
Series:Journal of King Saud University: Computer and Information Sciences
Subjects:
Online Access:http://www.sciencedirect.com/science/article/pii/S1319157813000128

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