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Sensitivity Analysis of the Fuzzy Mean-Entropy Portfolio Model with Transaction Costs Based on Credibility Theory

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Abstract

This paper proposes the fuzzy mean-entropy portfolio models with transaction costs based on credibility theory. In the paper, entropy is used as the measurement of risk. Furthermore, sensitivity analysis is discussed for objective function coefficients and constraint coefficients on the right sides in our proposed models. In addition, two numerical examples are given to illustrate the effectiveness of our proposed models and the practicability of sensitivity analysis. More importantly, the obtained results also show that when certain coefficient changes in some value range, we still can obtain the unchanged optimal solutions or unchanged objective function values. Compared with Huang (IEEE Trans Fuzzy Syst 16:1096–1101, 18; Fuzzy Optim Decis Mak 10:71–89, 19), our paper not only proposes the mean-entropy models, but also does research work on sensitivity analysis about objective function coefficients and constraint coefficients in depth in maximizing return model and minimizing risk model. Our results can provide more choices for investors in the practical financial market.

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Acknowledgements

This research was supported by “the National Natural Science Foundation of China, No. 11271140,” “the Ministry of Education, Humanities and Social Sciences Youth Fund Project of China, No. 13YJCZH030,” “the Natural Science Foundation of Guangdong Province, No. 2016A030313545” and “the Graduate Education Innovation Projects of Guangdong Province, Nos. 2015JGXM-ZD03, 2016QTLXXM-19.” The authors are highly grateful to the referees and editor-in-chief for their very helpful comments and suggestions.

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Authors and Affiliations

  1. School of Mathematics, South China University of Technology, Guangzhou, 510640, China

    Xue Deng

  2. Department of Mechanical Engineering, Guangdong College of Industry and Commerce, Guangzhou, China

    Junfeng Zhao

  3. Business School, Sun Yat-Sen University, Guangzhou, 510275, China

    Zhongfei Li

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  1. Xue Deng
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  2. Junfeng Zhao
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  3. Zhongfei Li
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Correspondence to Xue Deng.

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Deng, X., Zhao, J. & Li, Z. Sensitivity Analysis of the Fuzzy Mean-Entropy Portfolio Model with Transaction Costs Based on Credibility Theory. Int. J. Fuzzy Syst. 20, 209–218 (2018). https://doi.org/10.1007/s40815-017-0330-1

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