Portfolio Selection Model with the Measures of Information Entropy- Incremental Entropy-Skewness
نویسندگان
چکیده
Rongxi Zhou, Xiuguo Wang, Xuefan Dong, Ze Zong 1, first School of Economics and Management, Beijing University of Chemical Technology, Beijing 100029, China, [email protected] 2 School of Banking and Finance, University of New South Wales, Sydney, NSW 2052, Australia, [email protected] School of Applied Mathematics, Central University of Finance and Economics, Beijing 100081, China 4, Corresponding Author School of Business, University of Nottingham Ningbo China, Ningbo 315100, China 5, School of Economics and Management, Beijing University of Chemical Technology, Beijing 100029, China
منابع مشابه
Mean-Variance-Skewness-Entropy Measures: A Multi-Objective Approach for Portfolio Selection
In this study, we present a multi-objective approach based on a mean-varianceskewness-entropy portfolio selection model (MVSEM). In this approach, an entropy measure is added to the mean-variance-skewness model (MVSM) to generate a well-diversified portfolio. Through a variety of empirical data sets, we evaluate the performance of the MVSEM in terms of several portfolio performance measures. Th...
متن کاملINFORMATION MEASURES BASED TOPSIS METHOD FOR MULTICRITERIA DECISION MAKING PROBLEM IN INTUITIONISTIC FUZZY ENVIRONMENT
In the fuzzy set theory, information measures play a paramount role in several areas such as decision making, pattern recognition etc. In this paper, similarity measure based on cosine function and entropy measures based on logarithmic function for IFSs are proposed. Comparisons of proposed similarity and entropy measures with the existing ones are listed. Numerical results limpidly betoken th...
متن کاملMULTIPERIOD CREDIBILITIC MEAN SEMI-ABSOLUTE DEVIATION PORTFOLIO SELECTION
In this paper, we discuss a multiperiod portfolio selection problem with fuzzy returns. We present a new credibilitic multiperiod mean semi- absolute deviation portfolio selection with some real factors including transaction costs, borrowing constraints, entropy constraints, threshold constraints and risk control. In the proposed model, we quantify the investment return and risk associated with...
متن کاملProperties of Risk Measures of Generalized Entropy in Portfolio Selection
This paper systematically investigates the properties of six kinds of entropy-based risk measures: Information Entropy and Cumulative Residual Entropy in the probability space, Fuzzy Entropy, Credibility Entropy and Sine Entropy in the fuzzy space, and Hybrid Entropy in the hybridized uncertainty of both fuzziness and randomness. We discover that none of the risk measures satisfy all six of the...
متن کاملSustainable Energy Planning By A Group Decision Model With Entropy Weighting Method Under Interval-Valued Fuzzy Sets And Possibilistic Statistical Concepts
In this paper, a new interval-valued fuzzy multi-criteria group decision-making model is proposed to evaluate each of the energy plans with sustainable development criteria for proper energy plan selection. The purpose of this study is divided into two parts: first, it is aimed at determining the weights of evaluation criteria for sustainable energy planning and second at rating sustainable ene...
متن کامل