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A new non-Shannon fuzzy Mean–Variance–Skewness-entropy model is proposed with stock returns are considered as triangular fuzzy numbers. The fuzzy stock portfolio selection models are presented with credibility theory that maximizes mean and skewness and minimizes portfolio variance and cross-entropy in terms of Burg. With addition of Burg’s entropy in the multi objective non linear models, focus is...
The comprehensive evaluation is playing an important role in modern management. For the same goal, different comprehensive evaluation method may cause the different conclusion, which is not good for the management decision. To solve the problem, we recommend the portfolio method which is based on the kinds of singal evaluation method. And we think this method is more scientific and more reasonable...
Entropy can be as a measurement of the uncertainty and entropy optimization models can help investors to make decisions in the imperfect securities market. In this paper, the transaction costs will be added to the entropy optimization models including Mean-Entropy model and Mean-Cross-Entropy model, which make the models more rational and objective. The empirical study is done in twenty stocks of...
This paper integrates the entropy theory into Markowitz portfolio model to make a better performance in simulation for the relation between investment return and risk. With historical data of stocks in different industrial sectors, empirical analysis is conducted for the portfolio optimization. The study is superior to the standard approach, performing well with fairly few examples, particularly when...
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