Skip to main navigation Skip to search Skip to main content

Portfolio selection based on fuzzy cross-entropy

  • Zhongfeng Qin*
  • , Xiang Li
  • , Xiaoyu Ji
  • *Corresponding author for this work
  • Tsinghua University
  • Renmin University of China

Research output: Contribution to journalArticlepeer-review

Abstract

In this paper, the Kapur cross-entropy minimization model for portfolio selection problem is discussed under fuzzy environment, which minimizes the divergence of the fuzzy investment return from a priori one. First, three mathematical models are proposed by defining divergence as cross-entropy, average return as expected value and risk as variance, semivariance and chance of bad outcome, respectively. In order to solve these models under fuzzy environment, a hybrid intelligent algorithm is designed by integrating numerical integration, fuzzy simulation and genetic algorithm. Finally, several numerical examples are given to illustrate the modeling idea and the effectiveness of the proposed algorithm.

Original languageEnglish
Pages (from-to)139-149
Number of pages11
JournalJournal of Computational and Applied Mathematics
Volume228
Issue number1
DOIs
Publication statusPublished - 1 Jun 2009
Externally publishedYes

Keywords

  • Credibility measure
  • Fuzzy cross-entropy
  • Genetic algorithm
  • Portfolio selection

Fingerprint

Dive into the research topics of 'Portfolio selection based on fuzzy cross-entropy'. Together they form a unique fingerprint.

Cite this