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

页码：2885 / 2905

页数：21

共 50 条

[41] A unified formulation of entropy and its application [J].

Balakrishnan, Narayanaswamy ;

Buono, Francesco ;

Longobardi, Maria .

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2022, 596

[42] The Application of Tsallis Entropy Based Self-Adaptive Algorithm for Multi-Threshold Image Segmentation [J].

Zhang, Kailong ;

He, Mingyue ;

Dong, Lijie ;

Ou, Congjie .

ENTROPY, 2024, 26 (09)

[43] A New Evolutionary Algorithm for Portfolio Optimization and Its Application [J].

Wang, Weijia ;

Hu, Jie .

2013 9TH INTERNATIONAL CONFERENCE ON COMPUTATIONAL INTELLIGENCE AND SECURITY (CIS), 2013, :80-84

[44] A Genetic Relation Algorithm and Its Application to the Portfolio Optimization [J].

Chen, Yan ;

Hirasawa, Kotaro .

PROCEEDING OF THE 10TH INTERNATIONAL CONFERENCE ON INTELLIGENT TECHNOLOGIES, 2009, :8-13

[45] Optimal Control of Uncertain Stochastic Systems with Markovian Switching and Its Applications to Portfolio Decisions [J].

Fei, Weiyin .

CYBERNETICS AND SYSTEMS, 2014, 45 (01) :69-88

[46] Forecasting VaR and ES using a joint quantile regression and its implications in portfolio allocation [J].

Merlo, Luca ;

Petrella, Lea ;

Raponi, Valentina .

JOURNAL OF BANKING & FINANCE, 2021, 133

[47] Estimation of Improved BEKK Model and Its Application in Investment Portfolio [J].

Liu Liping ;

Chen Qin .

PROCEEDINGS OF 2019 CHINA INTERNATIONAL CONFERENCE ON INSURANCE AND RISK MANAGEMENT (CICIRM), 2019, :991-1001

[48] Interval Entropy of Fuzzy Sets and the Application to Fuzzy Multiple Attribute Decision Making [J].

Shi, Yiying ;

Yuan, Xuehai .

MATHEMATICAL PROBLEMS IN ENGINEERING, 2015, 2015

[49] A New Entropy Measurement for the Analysis of Uncertain Data in MCDA Problems Using Intuitionistic Fuzzy Sets and COPRAS Method [J].

Thakur, Parul ;

Kizielewicz, Bartlomiej ;

Gandotra, Neeraj ;

Shekhovtsov, Andrii ;

Saini, Namita ;

Saeid, Arsham Borumand ;

Salabun, Wojciech .

AXIOMS, 2021, 10 (04)

[50] Application of Gray Systems and Fuzzy Sets in Combination with Real Options Theory in Project Portfolio Management [J].

Arasteh, Abdollah ;

Aliahmadi, Alireza ;

Omran, Mohammad Mohammadpour .

ARABIAN JOURNAL FOR SCIENCE AND ENGINEERING, 2014, 39 (08) :6489-6506

← 1 2 3 4 5 →