Multi-objective Portfolio Selection Based on Skew-Normal Uncertainty Distribution and Asymmetric Entropy
نویسندگان
چکیده
منابع مشابه
Mean - Entropy Models for Uncertainty Portfolio Selection
Uncertainty theory is a branch of axiomatic mathematics based on normality, monotonicity, self-duality, countable subadditivity, and product measure axioms. In this paper, portfolio selection problems in uncertainty environment is solved using uncertainty programming methods. The concept of quadratic entropy is introduced in the model to measure risk of securities. Furthermore, a hybrid intelli...
متن کاملA fuzzy random multi-objective approach for portfolio selection
In this paper, the portfolio selection problem is considered, where fuzziness and randomness appear simultaneously in optimization process. Since return and dividend play an important role in such problems, a new model is developed in a mixed environment by incorporating fuzzy random variable as multi-objective nonlinear model. Then a novel interactive approach is proposed to determine the pref...
متن کاملPortfolio selection based on fuzzy cross-entropy
In this paper, the Kapur cross-entropy minimization model for portfolio selection problem is discussed under fuzzy environment, which minimizes the divergence of the fuzzy investment return from a priori one. First, three mathematical models are proposed by defining divergence as cross-entropy, average return as expected value and risk as variance, semivariance and chance of bad outcome, respec...
متن کاملAn Extension of the Birnbaum-Saunders Distribution Based on Skew-Normal t Distribution
In this paper, we introducte a family of univariate Birnbaum-Saunders distributions arising from the skew-normal-t distribution. We obtain several properties of this distribution such as its moments, the maximum likelihood estimation procedure via an EM-algorithm and a method to evaluate standard errors using the EM-algorithm. Finally, we apply these methods to a real data set to demonstr...
متن کاملMulti-period and Multi-objective Stock Selection Optimization Model Based on Fuzzy Interval Approach
The optimization of investment portfolios is the most important topic in financial decision making, and many relevant models can be found in the literature. According to importance of portfolio optimization in this paper, deals with novel solution approaches to solve new developed portfolio optimization model. Contrary to previous work, the uncertainty of future retur...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: INTERNATIONAL JOURNAL of FUZZY LOGIC and INTELLIGENT SYSTEMS
سال: 2021
ISSN: 1598-2645,2093-744X
DOI: 10.5391/ijfis.2021.21.1.38