Mean-Entropy-Skewness Fuzzy Portfolio Selection by Credibility Theory Approach

  • Rupak Bhattacharyya
  • Mohuya B. Kar
  • Samarjit Kar
  • Dwijesh Dutta Majumder
Part of the Lecture Notes in Computer Science book series (LNCS, volume 5909)

Abstract

In this paper fuzzy mean-entropy-skewness models are proposed for optimal portfolio selection. Entropy is favored as a measure of risk as it is free from dependence on symmetric probability distribution. Credibility theory is applied to evaluate fuzzy mean, skewness and entropy. Hybrid intelligence algorithm is used for simulation. Numerical examples are given in favor of each of the models.

Keywords

Fuzzy portfolio selection problem Credibility theory Entropy Skewness Mean- entropy- skewness model Hybrid intelligence algorithm 

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Copyright information

© Springer-Verlag Berlin Heidelberg 2009

Authors and Affiliations

  • Rupak Bhattacharyya
    • 1
  • Mohuya B. Kar
    • 2
  • Samarjit Kar
    • 1
  • Dwijesh Dutta Majumder
    • 3
  1. 1.Department of MathematicsNational Institute of TechnologyDurgapurIndia
  2. 2.Department of C.S.E.Heritage Institute of TechnologyKolkataIndia
  3. 3.Electronics & Communication Science UnitIndian Statistical InstituteKolkataIndia

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