Triangular entropy of uncertain variables with application to portfolio selection

被引：0
作者：
Yufu Ning
Hua Ke
Zongfei Fu
机构：
[1] Shandong Youth University of Political Science,School of Information Engineering
[2] Tongji University,School of Economics and Management
[3] Renmin University of China,School of Information
来源：
Soft Computing | 2015年 / 19卷
关键词：
Entropy; Uncertain variable; Uncertainty theory; Portfolio selection;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
Entropy is used as a measure to characterize the uncertainty. So far, entropy for uncertain variables in the forms of logarithm function and triangular function has been proposed. This paper mainly studies the concept of triangular entropy, and verifies its properties such as translation invariance and positive linearity. As an application, this paper also considers a mean-variance portfolio selection problem with triangular entropy as a constraint.
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页码：2203 / 2209
页数：6
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