Indeterminacy in portfolio selection

DOI10.1016/J.EJOR.2004.01.006zbMath1066.91051OpenAlexW1994036400MaRDI QIDQ704073

Maria Rosaria Simonelli

Publication date: 12 January 2005

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2004.01.006

zbMATH Keywords

Utility theoryUncertainty modellingMeasure theoryPortfolio selection functionalsShannon's entropy of information

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (12)

Diversified portfolios with different entropy measures ⋮ The normalized expected utility -- entropy and variance model for decisions under risk ⋮ A decision model based on expected utility, entropy and variance ⋮ Portfolio optimization based on generalized information theoretic measures ⋮ Portfolio optimization using elliptic entropy and semi-entropy of coherent fuzzy numbers ⋮ Portfolio selection using \(\lambda\) mean and hybrid entropy ⋮ Portfolio selection based on distance between fuzzy variables ⋮ A hybrid intelligent algorithm for portfolio selection problem with fuzzy returns ⋮ Multi-period portfolio selection problem under uncertain environment with bankruptcy constraint ⋮ Portfolio selection based on fuzzy cross-entropy ⋮ Entropy based robust portfolio ⋮ Portfolio selection models based on Cross-entropy of uncertain variables

Cites Work

• Soft computing in financial engineering
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