In this study, the Renyi entropy-mean-variance maximization and Renyi cross entropy-meanvariance 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 υ parameter in Renyi entropy and Renyi cross entropy on optimal portfolio selection was considered using the presented models.
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 υentropy-mean-variance presented models. As a result of this approach, by using different values of υ, diversity of asset allocations could be achieved.
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