Diversification portfolio selection problem is an important issue in uncertain economic environment. In this paper, this problem is discussed within the framework of uncertainty theory. First, an uncertain extension mean-variance diversification model is proposed, in which the mean is chosen as the objective function, and variance and proportion entropy as risk and diversity constraints. Then two variations are investigated on the purposes of minimizing the risk and maximizing the diversity measure, respectively. Furthermore, the corresponding analytical mathematical models are deduced via the convenient operational law of uncertain variables. Finally, several numerical examples are given to illustrate the modeling idea. The results showed that the diversification models had higher diversification than the uncertain mean-variance model. The proposed models provide a new method to make decision-making in uncertain portfolio selection problem.
| Published in | International Journal of Management and Fuzzy Systems (Volume 7, Issue 3) |
| DOI | 10.11648/j.ijmfs.20210703.12 |
| Page(s) | 47-54 |
| Creative Commons |
This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited. |
| Copyright |
Copyright © The Author(s), 2021. Published by Science Publishing Group |
Portfolio Selection, Uncertain Variable, Entropy, Uncertainty Modeling
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APA Style
Shengguo Li, Jin Peng, Bo Zhang, Dan Ralescu. (2021). Mean-Variance-Entropy Portfolio Selection Models with Uncertain Returns. International Journal of Management and Fuzzy Systems, 7(3), 47-54. https://doi.org/10.11648/j.ijmfs.20210703.12
ACS Style
Shengguo Li; Jin Peng; Bo Zhang; Dan Ralescu. Mean-Variance-Entropy Portfolio Selection Models with Uncertain Returns. Int. J. Manag. Fuzzy Syst. 2021, 7(3), 47-54. doi: 10.11648/j.ijmfs.20210703.12
AMA Style
Shengguo Li, Jin Peng, Bo Zhang, Dan Ralescu. Mean-Variance-Entropy Portfolio Selection Models with Uncertain Returns. Int J Manag Fuzzy Syst. 2021;7(3):47-54. doi: 10.11648/j.ijmfs.20210703.12
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Download@article{10.11648/j.ijmfs.20210703.12,
author = {Shengguo Li and Jin Peng and Bo Zhang and Dan Ralescu},
title = {Mean-Variance-Entropy Portfolio Selection Models with Uncertain Returns},
journal = {International Journal of Management and Fuzzy Systems},
volume = {7},
number = {3},
pages = {47-54},
doi = {10.11648/j.ijmfs.20210703.12},
url = {https://doi.org/10.11648/j.ijmfs.20210703.12},
eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijmfs.20210703.12},
abstract = {Diversification portfolio selection problem is an important issue in uncertain economic environment. In this paper, this problem is discussed within the framework of uncertainty theory. First, an uncertain extension mean-variance diversification model is proposed, in which the mean is chosen as the objective function, and variance and proportion entropy as risk and diversity constraints. Then two variations are investigated on the purposes of minimizing the risk and maximizing the diversity measure, respectively. Furthermore, the corresponding analytical mathematical models are deduced via the convenient operational law of uncertain variables. Finally, several numerical examples are given to illustrate the modeling idea. The results showed that the diversification models had higher diversification than the uncertain mean-variance model. The proposed models provide a new method to make decision-making in uncertain portfolio selection problem.},
year = {2021}
}
TY - JOUR T1 - Mean-Variance-Entropy Portfolio Selection Models with Uncertain Returns AU - Shengguo Li AU - Jin Peng AU - Bo Zhang AU - Dan Ralescu Y1 - 2021/08/23 PY - 2021 N1 - https://doi.org/10.11648/j.ijmfs.20210703.12 DO - 10.11648/j.ijmfs.20210703.12 T2 - International Journal of Management and Fuzzy Systems JF - International Journal of Management and Fuzzy Systems JO - International Journal of Management and Fuzzy Systems SP - 47 EP - 54 PB - Science Publishing Group SN - 2575-4947 UR - https://doi.org/10.11648/j.ijmfs.20210703.12 AB - Diversification portfolio selection problem is an important issue in uncertain economic environment. In this paper, this problem is discussed within the framework of uncertainty theory. First, an uncertain extension mean-variance diversification model is proposed, in which the mean is chosen as the objective function, and variance and proportion entropy as risk and diversity constraints. Then two variations are investigated on the purposes of minimizing the risk and maximizing the diversity measure, respectively. Furthermore, the corresponding analytical mathematical models are deduced via the convenient operational law of uncertain variables. Finally, several numerical examples are given to illustrate the modeling idea. The results showed that the diversification models had higher diversification than the uncertain mean-variance model. The proposed models provide a new method to make decision-making in uncertain portfolio selection problem. VL - 7 IS - 3 ER -
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