Abstract
Generalized entropy is a flexible risk measure to characterize indeterminacy of uncertain random variables. As important roles of risk measures in finance, this paper proposes the concept of generalized entropy for uncertain random variables. Also, an approach for computing generalized entropy is derived based on inverse uncertainty distributions. As an application in finance, portfolio selection problems of uncertain random returns are solved by minimizing generalized entropy in mean-entropy models. Finally, for better understanding, some examples and tables are provided.
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Liang, X., Xie, J., Miao, Z. et al. Two parameter generalized entropy of uncertain random variables and its application. J Ambient Intell Human Comput 14, 16337–16346 (2023). https://doi.org/10.1007/s12652-022-03855-4
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DOI: https://doi.org/10.1007/s12652-022-03855-4