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Intelligent Decision Technologies pp 195–203Cite as

Entropy Model of a Fuzzy Random Portfolio Selection Problem

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Part of the book series: Smart Innovation, Systems and Technologies ((SIST,volume 15))

Abstract

This paper considers an entropy model of portfolio selection problem with fuzzy random variables to future returns. Since standard mean-variance portfolio models suffer from some shortcomings, the entropy is introduced as a risk measure instead of variances to overcome the shortcomings. Furthermore, introducing the sum of entropy to each portfolio as well as the entropy of fuzzy random variables, the previous entropy-based fuzzy random portfolio selection problem is extended, the exact optimal portfolio is explicitly obtained using nonlinear programming such as Karush-Kuhn-Tucker condition.

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Author information

Authors and Affiliations

  1. Graduate School of Information Science and Technology, Osaka University, 2-1 Yamadaoka, Suita, Osaka, 565-0871, Japan

    Takashi Hasuike

  2. Graduate School of Engineering, Hiroshima University, 1-4-1 Kagamiyama, Higashi-Hiroshima, Hiroshima, 739-8527, Japan

    Hideki Katagiri

Authors
  1. Takashi Hasuike
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  2. Hideki Katagiri
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Corresponding author

Correspondence to Takashi Hasuike .

Editor information

Editors and Affiliations

  1. Graduate School of Information,, Production & Systems (IPS), Waseda University, Hibikino 2-7, Kitakyushu, 808-0135, Japan

    Junzo Watada

  2. Graduate School of Information Science, Nagoya University, Furo-cho, Nagoya, 464-8601, Japan

    Toyohide Watanabe

  3. Sellinger School of Business and, Management, Loyola University Maryland, Charles Street 4501 N, Baltimore, 21210, USA

    Gloria Phillips-Wren

  4. KES International, PO Box 2115, Shoreham-by-Sea, BN43 9AF, United Kingdom

    Robert J. Howlett

  5. , School of Electrical and Information, University of South Australia, 5095, Adelaide, Australia

    Lakhmi C. Jain

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© 2012 Springer-Verlag Berlin Heidelberg

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Hasuike, T., Katagiri, H. (2012). Entropy Model of a Fuzzy Random Portfolio Selection Problem. In: Watada, J., Watanabe, T., Phillips-Wren, G., Howlett, R., Jain, L. (eds) Intelligent Decision Technologies. Smart Innovation, Systems and Technologies, vol 15. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-29977-3_20

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  • DOI: https://doi.org/10.1007/978-3-642-29977-3_20

  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-642-29976-6

  • Online ISBN: 978-3-642-29977-3

  • eBook Packages: EngineeringEngineering (R0)

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