Entropy model of a fuzzy random portfolio selection problem

Takashi Hasuike; Hideki Katagiri

doi:10.1007/978-3-642-29977-3_20

Entropy model of a fuzzy random portfolio selection problem

Takashi Hasuike^*, Hideki Katagiri

^*Corresponding author for this work

Research output: Chapter in Book/Report/Conference proceeding › Chapter

Abstract

This paper considers an entropy model of portfolio selection problem with fuzzy random variables to future returns. Since standard mean-variance portfolio models suffer from some shortcomings, the entropy is introduced as a risk measure instead of variances to overcome the shortcomings. Furthermore, introducing the sum of entropy to each portfolio as well as the entropy of fuzzy random variables, the previous entropy-based fuzzy random portfolio selection problem is extended, the exact optimal portfolio is explicitly obtained using nonlinear programming such as Karush-Kuhn-Tucker condition.

Original language	English
Title of host publication	Intelligent Decision Technologies
Subtitle of host publication	Proceedings of the 4th International Conference on Intelligent Decision
Editors	Jain Lakhmi, Howlett Robert, Watada Junzo, Watanabe Toyohide, Gloria Phillips-Wren
Pages	195-203
Number of pages	9
DOIs	https://doi.org/10.1007/978-3-642-29977-3_20
Publication status	Published - 2012
Externally published	Yes

Publication series

Name	Smart Innovation, Systems and Technologies
Volume	15
ISSN (Print)	2190-3018
ISSN (Electronic)	2190-3026

ASJC Scopus subject areas

Decision Sciences(all)
Computer Science(all)

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10.1007/978-3-642-29977-3_20

Cite this

Hasuike, T., & Katagiri, H. (2012). Entropy model of a fuzzy random portfolio selection problem. In J. Lakhmi, H. Robert, W. Junzo, W. Toyohide, & G. Phillips-Wren (Eds.), Intelligent Decision Technologies: Proceedings of the 4th International Conference on Intelligent Decision (pp. 195-203). (Smart Innovation, Systems and Technologies; Vol. 15). https://doi.org/10.1007/978-3-642-29977-3_20

Entropy model of a fuzzy random portfolio selection problem. / Hasuike, Takashi; Katagiri, Hideki.
Intelligent Decision Technologies: Proceedings of the 4th International Conference on Intelligent Decision. ed. / Jain Lakhmi; Howlett Robert; Watada Junzo; Watanabe Toyohide; Gloria Phillips-Wren. 2012. p. 195-203 (Smart Innovation, Systems and Technologies; Vol. 15).

Research output: Chapter in Book/Report/Conference proceeding › Chapter

Hasuike, T & Katagiri, H 2012, Entropy model of a fuzzy random portfolio selection problem. in J Lakhmi, H Robert, W Junzo, W Toyohide & G Phillips-Wren (eds), Intelligent Decision Technologies: Proceedings of the 4th International Conference on Intelligent Decision. Smart Innovation, Systems and Technologies, vol. 15, pp. 195-203. https://doi.org/10.1007/978-3-642-29977-3_20

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Entropy model of a fuzzy random portfolio selection problem

Abstract

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ASJC Scopus subject areas

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