Entropy Model for Portfolio Selection with Fuzzy Returns
نویسندگان
چکیده
منابع مشابه
MEAN-ABSOLUTE DEVIATION PORTFOLIO SELECTION MODEL WITH FUZZY RETURNS
In this paper, we consider portfolio selection problem in which security returns are regarded as fuzzy variables rather than random variables. We first introduce a concept of absolute deviation for fuzzy variables and prove some useful properties, which imply that absolute deviation may be used to measure risk well. Then we propose two mean-absolute deviation models by defining risk as abs...
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Article history: Received 21 August 2008 Accepted 4 May 2009 Available online 15 May 2009
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ژورنال
عنوان ژورنال: Journal of Applied Sciences
سال: 2013
ISSN: 1812-5654
DOI: 10.3923/jas.2013.4162.4165