Entropy Model of a Fuzzy Random Portfolio Selection Problem

  • Takashi Hasuike
  • Hideki Katagiri
Conference paper
Part of the Smart Innovation, Systems and Technologies book series (SIST, volume 15)


This paper considers an entropy model of portfolio selection problem with fuzzy random variables to future returns. Since standard mean-variance portfolio models suffer from some shortcomings, the entropy is introduced as a risk measure instead of variances to overcome the shortcomings. Furthermore, introducing the sum of entropy to each portfolio as well as the entropy of fuzzy random variables, the previous entropy-based fuzzy random portfolio selection problem is extended, the exact optimal portfolio is explicitly obtained using nonlinear programming such as Karush-Kuhn-Tucker condition.


Fuzzy Number Risk Measure Portfolio Selection Future Return Possibility Distribution 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


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Copyright information

© Springer-Verlag Berlin Heidelberg 2012

Authors and Affiliations

  1. 1.Graduate School of Information Science and TechnologyOsaka UniversitySuitaJapan
  2. 2.Graduate School of EngineeringHiroshima UniversityHigashi-HiroshimaJapan

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