Mean-Entropy Model for Portfolio Selection with Type-2 Fuzzy Returns
نویسندگان
چکیده
Entropy is a measurement of the degree of uncertainty. Meanentropy method can be used for modeling the choice among uncertain outcomes. In this paper, we consider the portfolio selection problem under the assumption that security returns are characterized by type-2 fuzzy variables. Since the expectation and entropy of type-2 fuzzy variables haven’t been well defined, type-2 fuzzy variables need to be reduced firstly. Then we propose a mean-entropy model with reduced variables. To solve the proposed model, we use the entropy formula of reduced fuzzy variable and transform the mean-entropy model to its equivalent parametric form, which can be solved by standard optimization solver.
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