Portfolio Selection in the Credibilistic Framework Using Renyi Entropy and Renyi Cross Entropy
Gholanhossein Yari, Alireza Sajedi, Mohamadtaghi Rahimi · International Journal of Fuzzy Logic and Intelligent Systems · 2018
In this study, the Renyi entropy-mean-variance maximization and Renyi cross entropy-meanvariance minimization models for portfolio selection with fuzzy return were investigated under the credibility theory framework.We also attempted to examine the relationship between credibilistic Renyi entropy-mean-variance and Renyi cross entropy-mean-variance models.The effect of the υ parameter in Renyi entropy and Renyi cross entropy on optimal portfolio selection was considered using the presented models.