TSALLIS ENTROPY OF UNCERTAIN SETS AND ITS APPLICATION TO PORTFOLIO ALLOCATION

被引：2
作者：
Zhao, Hua [1 ]
Ahmadzade, Hamed [2 ]
Ghasemigol, Mohammad [3 ]
机构：
[1] Chongqing Univ, Sch Econ & Business Adm, Chongqing 400067, Peoples R China
[2] Univ Sistan & Baluchestan, Dept Stat, Zahedan, Iran
[3] Old Dominion Univ, Sch Cybersecur, Norfolk, VA USA
来源：
JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION | 2024年 / 20卷 / 09期
关键词：
Uncertain set; Tsallis entropy; portfolio optimization; Monte-Carlo; approach; mean-entropy model; TRIANGULAR ENTROPY; RANDOM-VARIABLES; SELECTION;
D O I：
10.3934/jimo.2024032
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
Tsallis entropy is a flexible device to measure indeterminacy of uncertain sets. A formula is obtained to calculate Tsallis entropy of uncertain sets via inversion of membership functions. Also, by considering Tsallis entropy as a risk measure, we optimize portfolio selection problems via mean -entropy models.
引用
收藏
页码：2885 / 2905
页数：21
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