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Order υ Entropy and Cross Entropy of Uncertain Variables for Portfolio Selection
Alireza Sajedi,Gholamhossein Yari 한국지능시스템학회 2020 INTERNATIONAL JOURNAL of FUZZY LOGIC and INTELLIGE Vol.20 No.1
In this study, we proposed definition of order υ entropy and order υ cross entropy of uncertain variables under uncertainty theory. Moreover, order υ entropy and order υ cross entropy of uncertain variables were applied to mean-variance portfolio selection model. We also attempted to examine the applications of these measures with different order υ values. The effect of the υ in order υ entropy and cross entropy on portfolio selection were considered using the order υ entropy-mean-variance and 571781799order υ entropy-mean-variance presented models. As a result of this approach, by using different values of υ, diversity of asset allocations could be achieved.
Portfolio Selection in the Credibilistic Framework Using Renyi Entropy and Renyi Cross Entropy
Gholanhossein Yari,Alireza Sajedi,Mohamadtaghi Rahimi 한국지능시스템학회 2018 INTERNATIONAL JOURNAL of FUZZY LOGIC and INTELLIGE Vol.18 No.1
In this study, the Renyi entropy-mean-variance maximization and Renyi cross entropy-mean-variance minimization models for portfolio selection with fuzzy return were investigated under the credibility theory framework. We also attempted to examine the relationship between credibilistic Renyi entropy-mean-variance and Renyi cross entropy-mean-variance models. The effect of the parameter in Renyi entropy and Renyi cross entropy on optimal portfolio selection was considered using the presented models.
Portfolio Selection in the Credibilistic Framework Using Renyi Entropy and Renyi Cross Entropy
Yari, Gholanhossein,Sajedi, Alireza,Rahimi, Mohamadtaghi Korean Institute of Intelligent Systems 2018 INTERNATIONAL JOURNAL of FUZZY LOGIC and INTELLIGE Vol.18 No.1
In this study, the Renyi entropy-mean-variance maximization and Renyi cross entropy-mean-variance minimization models for portfolio selection with fuzzy return were investigated under the credibility theory framework. We also attempted to examine the relationship between credibilistic Renyi entropy-mean-variance and Renyi cross entropy-mean-variance models. The effect of the ${\upsilon}$ parameter in Renyi entropy and Renyi cross entropy on optimal portfolio selection was considered using the presented models.