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A Mean-Continuous Fuzzy Random Entropy Portfolio Model with Fuzzy Random Returns

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Application of Intelligent Systems in Multi-modal Information Analytics (MMIA 2020)

Part of the book series: Advances in Intelligent Systems and Computing ((AISC,volume 1233))

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Abstract

In this paper, our aim is to resolve the problem that is security returns are influence by random uncertainty and fuzzy uncertainty in portfolio selection. First, the continuous fuzzy random entropy is defined for the first time to measure the portfolio risk. Then a mean-continuous fuzzy random entropy model is proposed in a more complex market. As an ending, we use a numerical example to illustrate this approach. The results show that the obtained efficient frontier of the portfolio is effective and the continuous fuzzy random entropy can present well the security uncertainty in the more complex market environment.

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Acknowledgements

This research was supported by the “Humanities and Social Sciences Research and Planning Fund of the Ministry of Education of China, No. x2lxY9180090”, “Natural Science Foundation of Guangdong Province, No. 2019A1515011038”, “Soft Science of Guangdong Province, and No. 2018A070712002, 2019A101002118”, and “Fundamental Research Funds for the Central Universities of China, No. x2lxC2180170”. The authors are highly grateful to the referees and editor in-chief for their very helpful comments.

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Authors and Affiliations

  1. Huizhou Engineering Vocational College, Huizhou, 516000, Guangdong, China

    Quande Sun

  2. Department of Mechanical Engineering, Guangdong College of Industry and Commerce, Guangzhou, 510510, Guangdong, China

    Junfeng Zhao

  3. School of Mathematics, South China University of Technology, Guangzhou, 510640, Guangdong, China

    Xue Deng & Yingxian Lin

Authors
  1. Quande Sun
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  2. Junfeng Zhao
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  3. Xue Deng
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  4. Yingxian Lin
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Corresponding author

Correspondence to Junfeng Zhao .

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Editors and Affiliations

  1. Department of Decision and Information Sciences, and Center for Data Science and Big Data Analytics, Oakland University, School of Business Administration, Rochester, MI, USA

    Vijayan Sugumaran

  2. Shanghai University of Medicine and Health Sciences, Shanghai, China

    Zheng Xu

  3. Department of Informatics, University of Leicester, Leicester, UK

    Huiyu Zhou

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Sun, Q., Zhao, J., Deng, X., Lin, Y. (2021). A Mean-Continuous Fuzzy Random Entropy Portfolio Model with Fuzzy Random Returns. In: Sugumaran, V., Xu, Z., Zhou, H. (eds) Application of Intelligent Systems in Multi-modal Information Analytics. MMIA 2020. Advances in Intelligent Systems and Computing, vol 1233. Springer, Cham. https://doi.org/10.1007/978-3-030-51431-0_64

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