Elliptic entropy of uncertain random variables with application to portfolio selection
Abstract This paper investigates an elliptic entropy of uncertain random variables and its application in the area of portfolio selection. We first define the elliptic entropy to characterize the uncertainty of uncertain random variables and give some mathematical properties of the elliptic entropy....
Ausführliche Beschreibung
Gespeichert in:
| Autor*in: |
Chen, Lin [verfasserIn] Gao, Rong [verfasserIn] Bian, Yuxiang [verfasserIn] Di, Huafei [verfasserIn] |
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| Format: |
E-Artikel |
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| Sprache: |
Englisch |
| Erschienen: |
2020 |
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| Schlagwörter: |
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| Übergeordnetes Werk: |
Enthalten in: Soft Computing - Springer-Verlag, 2003, 25(2020), 3 vom: 03. Sept., Seite 1925-1939 |
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| Übergeordnetes Werk: |
volume:25 ; year:2020 ; number:3 ; day:03 ; month:09 ; pages:1925-1939 |
| Links: |
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| DOI / URN: |
10.1007/s00500-020-05266-z |
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SPR043173942 |
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| 520 | |a Abstract This paper investigates an elliptic entropy of uncertain random variables and its application in the area of portfolio selection. We first define the elliptic entropy to characterize the uncertainty of uncertain random variables and give some mathematical properties of the elliptic entropy. Then we derive a computational formula to calculate the elliptic entropy of function of uncertain random variables. Furthermore, we use the elliptic entropy to characterize the risk of investment and establish a mean-entropy portfolio selection model, in which the future security returns are described by uncertain random variables. Based on the chance theory, the equivalent form of the mean–entropy model is derived. To show the performance of the mean–entropy portfolio selection model, several numerical experiments are presented. We also numerically compare the mean–entropy model with the mean–variance model, the equi-weighted portfolio model, and the most diversified portfolio model by using three kinds of diversification indices. Numerical results show that the mean-entropy model outperforms the mean–variance model in selecting diversified portfolios no matter of using which diversification index. | ||
| 650 | 4 | |a Uncertainty theory |7 (dpeaa)DE-He213 | |
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| 650 | 4 | |a Chance theory |7 (dpeaa)DE-He213 | |
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| 650 | 4 | |a Diversification index |7 (dpeaa)DE-He213 | |
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| 700 | 1 | |a Bian, Yuxiang |e verfasserin |4 aut | |
| 700 | 1 | |a Di, Huafei |e verfasserin |4 aut | |
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10.1007/s00500-020-05266-z doi (DE-627)SPR043173942 (DE-599)SPRs00500-020-05266-z-e (SPR)s00500-020-05266-z-e DE-627 ger DE-627 rakwb eng Chen, Lin verfasserin aut Elliptic entropy of uncertain random variables with application to portfolio selection 2020 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Abstract This paper investigates an elliptic entropy of uncertain random variables and its application in the area of portfolio selection. We first define the elliptic entropy to characterize the uncertainty of uncertain random variables and give some mathematical properties of the elliptic entropy. Then we derive a computational formula to calculate the elliptic entropy of function of uncertain random variables. Furthermore, we use the elliptic entropy to characterize the risk of investment and establish a mean-entropy portfolio selection model, in which the future security returns are described by uncertain random variables. Based on the chance theory, the equivalent form of the mean–entropy model is derived. To show the performance of the mean–entropy portfolio selection model, several numerical experiments are presented. We also numerically compare the mean–entropy model with the mean–variance model, the equi-weighted portfolio model, and the most diversified portfolio model by using three kinds of diversification indices. Numerical results show that the mean-entropy model outperforms the mean–variance model in selecting diversified portfolios no matter of using which diversification index. Uncertainty theory (dpeaa)DE-He213 Elliptic entropy (dpeaa)DE-He213 Uncertain random variable (dpeaa)DE-He213 Chance theory (dpeaa)DE-He213 Mean-entropy model (dpeaa)DE-He213 Diversification index (dpeaa)DE-He213 Gao, Rong verfasserin aut Bian, Yuxiang verfasserin aut Di, Huafei verfasserin aut Enthalten in Soft Computing Springer-Verlag, 2003 25(2020), 3 vom: 03. Sept., Seite 1925-1939 (DE-627)SPR006469531 nnns volume:25 year:2020 number:3 day:03 month:09 pages:1925-1939 https://dx.doi.org/10.1007/s00500-020-05266-z lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER AR 25 2020 3 03 09 1925-1939 |
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10.1007/s00500-020-05266-z doi (DE-627)SPR043173942 (DE-599)SPRs00500-020-05266-z-e (SPR)s00500-020-05266-z-e DE-627 ger DE-627 rakwb eng Chen, Lin verfasserin aut Elliptic entropy of uncertain random variables with application to portfolio selection 2020 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Abstract This paper investigates an elliptic entropy of uncertain random variables and its application in the area of portfolio selection. We first define the elliptic entropy to characterize the uncertainty of uncertain random variables and give some mathematical properties of the elliptic entropy. Then we derive a computational formula to calculate the elliptic entropy of function of uncertain random variables. Furthermore, we use the elliptic entropy to characterize the risk of investment and establish a mean-entropy portfolio selection model, in which the future security returns are described by uncertain random variables. Based on the chance theory, the equivalent form of the mean–entropy model is derived. To show the performance of the mean–entropy portfolio selection model, several numerical experiments are presented. We also numerically compare the mean–entropy model with the mean–variance model, the equi-weighted portfolio model, and the most diversified portfolio model by using three kinds of diversification indices. Numerical results show that the mean-entropy model outperforms the mean–variance model in selecting diversified portfolios no matter of using which diversification index. Uncertainty theory (dpeaa)DE-He213 Elliptic entropy (dpeaa)DE-He213 Uncertain random variable (dpeaa)DE-He213 Chance theory (dpeaa)DE-He213 Mean-entropy model (dpeaa)DE-He213 Diversification index (dpeaa)DE-He213 Gao, Rong verfasserin aut Bian, Yuxiang verfasserin aut Di, Huafei verfasserin aut Enthalten in Soft Computing Springer-Verlag, 2003 25(2020), 3 vom: 03. Sept., Seite 1925-1939 (DE-627)SPR006469531 nnns volume:25 year:2020 number:3 day:03 month:09 pages:1925-1939 https://dx.doi.org/10.1007/s00500-020-05266-z lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER AR 25 2020 3 03 09 1925-1939 |
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10.1007/s00500-020-05266-z doi (DE-627)SPR043173942 (DE-599)SPRs00500-020-05266-z-e (SPR)s00500-020-05266-z-e DE-627 ger DE-627 rakwb eng Chen, Lin verfasserin aut Elliptic entropy of uncertain random variables with application to portfolio selection 2020 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Abstract This paper investigates an elliptic entropy of uncertain random variables and its application in the area of portfolio selection. We first define the elliptic entropy to characterize the uncertainty of uncertain random variables and give some mathematical properties of the elliptic entropy. Then we derive a computational formula to calculate the elliptic entropy of function of uncertain random variables. Furthermore, we use the elliptic entropy to characterize the risk of investment and establish a mean-entropy portfolio selection model, in which the future security returns are described by uncertain random variables. Based on the chance theory, the equivalent form of the mean–entropy model is derived. To show the performance of the mean–entropy portfolio selection model, several numerical experiments are presented. We also numerically compare the mean–entropy model with the mean–variance model, the equi-weighted portfolio model, and the most diversified portfolio model by using three kinds of diversification indices. Numerical results show that the mean-entropy model outperforms the mean–variance model in selecting diversified portfolios no matter of using which diversification index. Uncertainty theory (dpeaa)DE-He213 Elliptic entropy (dpeaa)DE-He213 Uncertain random variable (dpeaa)DE-He213 Chance theory (dpeaa)DE-He213 Mean-entropy model (dpeaa)DE-He213 Diversification index (dpeaa)DE-He213 Gao, Rong verfasserin aut Bian, Yuxiang verfasserin aut Di, Huafei verfasserin aut Enthalten in Soft Computing Springer-Verlag, 2003 25(2020), 3 vom: 03. Sept., Seite 1925-1939 (DE-627)SPR006469531 nnns volume:25 year:2020 number:3 day:03 month:09 pages:1925-1939 https://dx.doi.org/10.1007/s00500-020-05266-z lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER AR 25 2020 3 03 09 1925-1939 |
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10.1007/s00500-020-05266-z doi (DE-627)SPR043173942 (DE-599)SPRs00500-020-05266-z-e (SPR)s00500-020-05266-z-e DE-627 ger DE-627 rakwb eng Chen, Lin verfasserin aut Elliptic entropy of uncertain random variables with application to portfolio selection 2020 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Abstract This paper investigates an elliptic entropy of uncertain random variables and its application in the area of portfolio selection. We first define the elliptic entropy to characterize the uncertainty of uncertain random variables and give some mathematical properties of the elliptic entropy. Then we derive a computational formula to calculate the elliptic entropy of function of uncertain random variables. Furthermore, we use the elliptic entropy to characterize the risk of investment and establish a mean-entropy portfolio selection model, in which the future security returns are described by uncertain random variables. Based on the chance theory, the equivalent form of the mean–entropy model is derived. To show the performance of the mean–entropy portfolio selection model, several numerical experiments are presented. We also numerically compare the mean–entropy model with the mean–variance model, the equi-weighted portfolio model, and the most diversified portfolio model by using three kinds of diversification indices. Numerical results show that the mean-entropy model outperforms the mean–variance model in selecting diversified portfolios no matter of using which diversification index. Uncertainty theory (dpeaa)DE-He213 Elliptic entropy (dpeaa)DE-He213 Uncertain random variable (dpeaa)DE-He213 Chance theory (dpeaa)DE-He213 Mean-entropy model (dpeaa)DE-He213 Diversification index (dpeaa)DE-He213 Gao, Rong verfasserin aut Bian, Yuxiang verfasserin aut Di, Huafei verfasserin aut Enthalten in Soft Computing Springer-Verlag, 2003 25(2020), 3 vom: 03. Sept., Seite 1925-1939 (DE-627)SPR006469531 nnns volume:25 year:2020 number:3 day:03 month:09 pages:1925-1939 https://dx.doi.org/10.1007/s00500-020-05266-z lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER AR 25 2020 3 03 09 1925-1939 |
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10.1007/s00500-020-05266-z doi (DE-627)SPR043173942 (DE-599)SPRs00500-020-05266-z-e (SPR)s00500-020-05266-z-e DE-627 ger DE-627 rakwb eng Chen, Lin verfasserin aut Elliptic entropy of uncertain random variables with application to portfolio selection 2020 Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier Abstract This paper investigates an elliptic entropy of uncertain random variables and its application in the area of portfolio selection. We first define the elliptic entropy to characterize the uncertainty of uncertain random variables and give some mathematical properties of the elliptic entropy. Then we derive a computational formula to calculate the elliptic entropy of function of uncertain random variables. Furthermore, we use the elliptic entropy to characterize the risk of investment and establish a mean-entropy portfolio selection model, in which the future security returns are described by uncertain random variables. Based on the chance theory, the equivalent form of the mean–entropy model is derived. To show the performance of the mean–entropy portfolio selection model, several numerical experiments are presented. We also numerically compare the mean–entropy model with the mean–variance model, the equi-weighted portfolio model, and the most diversified portfolio model by using three kinds of diversification indices. Numerical results show that the mean-entropy model outperforms the mean–variance model in selecting diversified portfolios no matter of using which diversification index. Uncertainty theory (dpeaa)DE-He213 Elliptic entropy (dpeaa)DE-He213 Uncertain random variable (dpeaa)DE-He213 Chance theory (dpeaa)DE-He213 Mean-entropy model (dpeaa)DE-He213 Diversification index (dpeaa)DE-He213 Gao, Rong verfasserin aut Bian, Yuxiang verfasserin aut Di, Huafei verfasserin aut Enthalten in Soft Computing Springer-Verlag, 2003 25(2020), 3 vom: 03. Sept., Seite 1925-1939 (DE-627)SPR006469531 nnns volume:25 year:2020 number:3 day:03 month:09 pages:1925-1939 https://dx.doi.org/10.1007/s00500-020-05266-z lizenzpflichtig Volltext GBV_USEFLAG_A SYSFLAG_A GBV_SPRINGER AR 25 2020 3 03 09 1925-1939 |
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Elliptic entropy of uncertain random variables with application to portfolio selection |
| abstract |
Abstract This paper investigates an elliptic entropy of uncertain random variables and its application in the area of portfolio selection. We first define the elliptic entropy to characterize the uncertainty of uncertain random variables and give some mathematical properties of the elliptic entropy. Then we derive a computational formula to calculate the elliptic entropy of function of uncertain random variables. Furthermore, we use the elliptic entropy to characterize the risk of investment and establish a mean-entropy portfolio selection model, in which the future security returns are described by uncertain random variables. Based on the chance theory, the equivalent form of the mean–entropy model is derived. To show the performance of the mean–entropy portfolio selection model, several numerical experiments are presented. We also numerically compare the mean–entropy model with the mean–variance model, the equi-weighted portfolio model, and the most diversified portfolio model by using three kinds of diversification indices. Numerical results show that the mean-entropy model outperforms the mean–variance model in selecting diversified portfolios no matter of using which diversification index. |
| abstractGer |
Abstract This paper investigates an elliptic entropy of uncertain random variables and its application in the area of portfolio selection. We first define the elliptic entropy to characterize the uncertainty of uncertain random variables and give some mathematical properties of the elliptic entropy. Then we derive a computational formula to calculate the elliptic entropy of function of uncertain random variables. Furthermore, we use the elliptic entropy to characterize the risk of investment and establish a mean-entropy portfolio selection model, in which the future security returns are described by uncertain random variables. Based on the chance theory, the equivalent form of the mean–entropy model is derived. To show the performance of the mean–entropy portfolio selection model, several numerical experiments are presented. We also numerically compare the mean–entropy model with the mean–variance model, the equi-weighted portfolio model, and the most diversified portfolio model by using three kinds of diversification indices. Numerical results show that the mean-entropy model outperforms the mean–variance model in selecting diversified portfolios no matter of using which diversification index. |
| abstract_unstemmed |
Abstract This paper investigates an elliptic entropy of uncertain random variables and its application in the area of portfolio selection. We first define the elliptic entropy to characterize the uncertainty of uncertain random variables and give some mathematical properties of the elliptic entropy. Then we derive a computational formula to calculate the elliptic entropy of function of uncertain random variables. Furthermore, we use the elliptic entropy to characterize the risk of investment and establish a mean-entropy portfolio selection model, in which the future security returns are described by uncertain random variables. Based on the chance theory, the equivalent form of the mean–entropy model is derived. To show the performance of the mean–entropy portfolio selection model, several numerical experiments are presented. We also numerically compare the mean–entropy model with the mean–variance model, the equi-weighted portfolio model, and the most diversified portfolio model by using three kinds of diversification indices. Numerical results show that the mean-entropy model outperforms the mean–variance model in selecting diversified portfolios no matter of using which diversification index. |
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Elliptic entropy of uncertain random variables with application to portfolio selection |
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https://dx.doi.org/10.1007/s00500-020-05266-z |
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Gao, Rong Bian, Yuxiang Di, Huafei |
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Gao, Rong Bian, Yuxiang Di, Huafei |
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| doi_str |
10.1007/s00500-020-05266-z |
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2024-07-03T17:00:49.719Z |
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