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.

An intuitionistic fuzzy entropy approach for supplier selection

“…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.…”

Multi-criteria Credibilistic Portfolio Selection Model with Various Risk Comparisons Using Trapezoidal Fuzzy Variable

“…Modern research works have been presented portfolio selection models assuming that returns on risky stocks are trapezoidal fuzzy variable under credibilistic framework such as Mehlawat, M. K. [19] presented meanentropy model and suggested multi-choice goal programming approach to select portfolios, Vercher and Bermudez [20] proposed rank-index model based on expected mean and loss function, Liu et al [21] introduced CVaR as a new risk and presented mean-conditional valueat-risk model, Gupta P. et al [22] proposed data envelopment analysis model for fuzzy portfolio selection, Mehlawat, M. K. et al [23] proposed multi-objective portfolio performance evaluation model credibilistic framework etcetera. After defining skewness of fuzzy variable and considering in fuzzy portfolio selection by Li et al [24], lots of research works have presented and argued about the role of skewness on portfolio selection under fuzzy environment see [25][26][27][28][29][30].…”