Multi-period Multi-criteria (MPMC) Valuation of American Options Based on Entropy Optimization Principles

Yari, Gholamhossein; Rahimi, Mohamadtaghi; Kumar, Pranesh

doi:10.1007/s40995-017-0206-0

Cited by 5 publications

(4 citation statements)

References 18 publications

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“…The main purpose of entropy measures is to explain uncertainty degree. In recent years, numerous studies have integrated the entropy with various fuzzy sets types, such as; Burillo and Bustince [4], Coban [9], Joshi and Kumar [21], Yari et al [38,39], Szmidt and Kacprzyk [26], Farnoosh et al [14], Ye [40], Hung and Yang [18], Rahimi and Kumar [28], Rahimi et al [29], Wei et al [34], Zeng and Li [46], Szmidt and Kacprzyk [27], Ye [41], and Zhang et al [47]. Burillo and Bustince [4] have defined the interval-valued fuzzy sets and IFSs, and introduced the distance measure between IFSs using the entropy measures.…”

Section: Introductionmentioning

confidence: 99%

An intuitionistic fuzzy entropy approach for supplier selection

Rahimi

Kumar

Moomivand

et al. 2021

Complex Intell. Syst.

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Due to apparent flexibility of Intuitionistic Fuzzy Set (IFS) concepts in dealing with the imprecision or uncertainty, these are proving to be quite useful in many application areas for a more human consistent reasoning under imperfectly defined facts and imprecise knowledge. In this paper, we apply notions of entropy and intuitionistic fuzzy sets to present a new fuzzy decision-making approach called intuitionistic fuzzy entropy measure for selection and ranking the suppliers with respect to the attributes. An entropy-based model is formulated and applied to a real case study aiming to examine the rankings of suppliers. Furthermore, the weights for each alternative, with respect to the criteria, are calculated using intuitionistic fuzzy entropy measure. The supplier with the highest weight is selected as the best alternative. This proposed model helps the decision-makers in better understanding of the weight of each criterion without relying on the mere expertise.

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Section: Introductionmentioning

confidence: 99%

An intuitionistic fuzzy entropy approach for supplier selection

Rahimi

Kumar

Moomivand

et al. 2021

Complex Intell. Syst.

Self Cite

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“…Additionally, many researchers have recently conceptualized fuzzy entropy from different aspects. Some of them can be found in [13][14][15][16].…”

Section: Introductionmentioning

confidence: 99%

Credibility Measure for Intuitionistic Fuzzy Variables

2018

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Credibility measures in vague environments are to quantify the approximate chance of occurrence of fuzzy events. This paper presents a novel definition about credibility for intuitionistic fuzzy variables. We axiomatize this credibility measure and to clarify, give some examples. Based on the notion of these concepts, we provide expected values, entropy, and general formulae for the central moments and discuss them through examples.

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“…Usta and Kantar [6] also used the mean-variance-skewness-entropy model for portfolio diversification, and they found that the models with an entropy factor performed the best in out-of-sample testing. Yu et al [7] compared the mean-variance efficiency of the models that incorporated different entropy measures by applying the multiple criteria method, and Yari et al [8] employed entropy optimization measures to determine the weights of each criterion of growth and reduction to better predict the future worth of each share.…”

Section: Introductionmentioning

confidence: 99%

Portfolio Selection in the Credibilistic Framework Using Renyi Entropy and Renyi Cross Entropy

Yari¹,

Sajedi²,

Rahimi³

2018

IJFIS

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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.

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Multi-period Multi-criteria (MPMC) Valuation of American Options Based on Entropy Optimization Principles

Cited by 5 publications

References 18 publications

An intuitionistic fuzzy entropy approach for supplier selection

An intuitionistic fuzzy entropy approach for supplier selection

Credibility Measure for Intuitionistic Fuzzy Variables

Portfolio Selection in the Credibilistic Framework Using Renyi Entropy and Renyi Cross Entropy

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