| Portfolio selection based on fuzzy cross-entropy | |
| Qin, Zhongfeng ; Li, Xiang ; Ji, Xiaoyu | |
| 2010-10-12 ; 2010-10-12 | |
| 关键词 | Portfolio selection Genetic algorithm Fuzzy cross-entropy Credibility measure TRANSACTION COSTS DOWNSIDE RISK OPTIMIZATION MODELS DISTRIBUTIONS ALGORITHMS INSURANCE VARIANCE Mathematics, Applied |
| 中文摘要 | 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, respectively. In order to solve these models under fuzzy environment, a hybrid intelligent algorithm is designed by integrating numerical integration, fuzzy simulation and genetic algorithm. Finally, several numerical examples are given to illustrate the modeling idea and the effectiveness of the proposed algorithm. (c) 2008 Elsevier B.V. All rights reserved. |
| 语种 | 英语 ; 英语 |
| 出版者 | ELSEVIER SCIENCE BV ; AMSTERDAM ; PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS |
| 内容类型 | 期刊论文 |
| 源URL | [http://hdl.handle.net/123456789/81272]  |
| 专题 | 清华大学 |
| 推荐引用方式 GB/T 7714 | Qin, Zhongfeng,Li, Xiang,Ji, Xiaoyu. Portfolio selection based on fuzzy cross-entropy[J],2010, 2010. |
| APA | Qin, Zhongfeng,Li, Xiang,&Ji, Xiaoyu.(2010).Portfolio selection based on fuzzy cross-entropy.. |
| MLA | Qin, Zhongfeng,et al."Portfolio selection based on fuzzy cross-entropy".(2010). |
| 个性服务 |
| 查看访问统计 |
| 相关权益政策 |
| 暂无数据 |
| 收藏/分享 |
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
修改评论