Rongxi Zhou

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In this paper, we develop a portfolio selection model with the measures of information entropy-incremental entropy-skewness (EESM) in which the risk of the portfolio is measured by information entropy, and the expected return is expressed by incremental entropy to indicate incremental speed of capital, and the risk of higher moment is measured by skewness.(More)
s: In this paper, we define the portfolio return as fuzzy average yield and risk as hybrid-entropy and variance to deal with the portfolio selection problem with both random uncertainty and fuzzy uncertainty, and propose a mean-variance hybrid-entropy model (MVHEM). A multi-objective genetic algorithm named Non-dominated Sorting Genetic Algorithm II(More)
In this paper, we develop a new term structure model of interest rates with combinatorial optimization method based on four classical models: polynomial spline model, exponential spline model, Nelson-Siegel model and Svensson model. Genetic algorithms are employed to solve the combinatorial optimization model. Then, we make some empirical comparisons of(More)
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