Comparing Entropies in Portfolio Diversification with Fuzzy Value at Risk and Higher-Order Moment-Reference-Cited by-同舟云学术

Comparing Entropies in Portfolio Diversification with Fuzzy Value at Risk and Higher-Order Moment

Published:2020-01-02 Issue:1 Volume:12 Page:123-138
ISSN:1616-8658
Container-title:Fuzzy Information and Engineering
language:en
Short-container-title:Fuzzy Information and Engineering

Author:

Pourrafiee Mahdi¹,Nafei AmirHossein²^ORCID,Banihashemi Shokoufe¹,Pourmohammad Azizi S.¹³

Affiliation:

1. Department of Mathematics, School of Mathematical Sciences, Allameh Tabataba’i University, Tehran, Iran

2. Department of Mathematics and Information Science, Guangzhou University, Guangzhou, People’s Republic of China

3. Henan Academy of Big Data, Zhengzhou University, Zhengzhou, People’s Republic of China

Publisher

Informa UK Limited

Subject

Applied Mathematics,Artificial Intelligence,Industrial and Manufacturing Engineering,Management Science and Operations Research,Logic,Information Systems,Control and Systems Engineering,Theoretical Computer Science

Link

https://www.tandfonline.com/doi/pdf/10.1080/16168658.2020.1811481

Reference39 articles.

1. Portfolio Selection

2. Data envelopment analysis based fuzzy multi-objective portfolio selection model involving higher moments

3. Diversified portfolios with different entropy measures

4. Robust multiobjective portfolio with higher moments

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