A portfolio optimization model based on information entropy and fuzzy time series

DOI10.1007/s10700-015-9206-8zbMath1429.91300OpenAlexW2024479116MaRDI QIDQ1794545

Dan A. Ralescu, Mei Yu, Rongxi Zhou, Zebin Yang

Publication date: 15 October 2018

Published in: Fuzzy Optimization and Decision Making (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10700-015-9206-8

zbMATH Keywords

portfolio selectionfuzzy time seriesinformation entropyreturns distribution forecasting

Mathematics Subject Classification ID

Economic time series analysis (91B84) Portfolio theory (91G10) Inference from stochastic processes and fuzziness (62M86)

Related Items (2)

Forecasting portfolio returns using weighted fuzzy time series methods ⋮ A Study on Portfolio Selection Based on Fuzzy Linear Programming

Cites Work

• Applications of entropy in finance: a review
• Mean-variance-skewness-entropy measures: a multi-objective approach for portfolio selection
• On-line portfolio selection using stochastic programming
• Dynamic portfolio optimization with risk control for absolute deviation model
• On interval portfolio selection problem
• A FCM-based deterministic forecasting model for fuzzy time series
• Coherent Measures of Risk
• Portfolio Optimization Under a Minimax Rule
• Fuzzy sets
• Effective lengths of intervals to improve forecasting in fuzzy time series

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