Eine Plattform für die Wissenschaft: Bauingenieurwesen, Architektur und Urbanistik
Eine Plattform für die Wissenschaft: Bauingenieurwesen, Architektur und Urbanistik
Portfolio optimization based on fuzzy entropy
Abstract In this paper, a general solution is presented for portfolio optimization in a situation where the expressed prices are estimated as fuzzy numbers. To reach the solution, the expected returns, semi-variance, skewness, semi-kurtosis and semi-entropy are considered with this assumption that the portfolio returns are asymmetric. In this method, all the data about the expected returns are considered and no expected return value is ignored just because of a little growth of risk. We have the conclusion by discussing an illustrative example to verify the developed approach.
Portfolio optimization based on fuzzy entropy
Abstract In this paper, a general solution is presented for portfolio optimization in a situation where the expressed prices are estimated as fuzzy numbers. To reach the solution, the expected returns, semi-variance, skewness, semi-kurtosis and semi-entropy are considered with this assumption that the portfolio returns are asymmetric. In this method, all the data about the expected returns are considered and no expected return value is ignored just because of a little growth of risk. We have the conclusion by discussing an illustrative example to verify the developed approach.
Portfolio optimization based on fuzzy entropy
Rahimi, Mohamadtaghi (Autor:in) / Kumar, Pranesh (Autor:in)
07.12.2018
6 pages
Aufsatz (Zeitschrift)
Elektronische Ressource
Englisch
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