Mean-Entropy Models for Fuzzy Portfolio Selection

@article{Huang2008MeanEntropyMF,
  title={Mean-Entropy Models for Fuzzy Portfolio Selection},
  author={Xiaoxia Huang},
  journal={IEEE Transactions on Fuzzy Systems},
  year={2008},
  volume={16},
  pages={1096-1101}
}
This short paper proposes two types of credibility-based fuzzy mean-entropy models. In the short paper, entropy is used as the measure of risk. The smaller the entropy value is, the less uncertainty the portfolio return contains, and thus, the safer the portfolio is. Furthermore, as a measure of risk, entropy is free from reliance on symmetrical distributions of security returns and can be computed from nonmetric data. In addition, the short paper compares the fuzzy mean-variance model with the… CONTINUE READING
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