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International Journal on Interactive Design and Manufacturing (IJIDeM)
Published in: International Journal on Interactive Design and Manufacturing (IJIDeM) 2/2019

07-12-2018 | Original paper

Portfolio optimization based on fuzzy entropy

Authors: Mohamadtaghi Rahimi, Pranesh Kumar

Published in: International Journal on Interactive Design and Manufacturing (IJIDeM) | Issue 2/2019

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Abstract

In this paper, a general solution is presented for portfolio optimization in a situation where the expressed prices are estimated as fuzzy numbers. To reach the solution, the expected returns, semi-variance, skewness, semi-kurtosis and semi-entropy are considered with this assumption that the portfolio returns are asymmetric. In this method, all the data about the expected returns are considered and no expected return value is ignored just because of a little growth of risk. We have the conclusion by discussing an illustrative example to verify the developed approach.
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Metadata
Title
Portfolio optimization based on fuzzy entropy
Authors
Mohamadtaghi Rahimi
Pranesh Kumar
Publication date
07-12-2018
Publisher
Springer Paris
Published in
International Journal on Interactive Design and Manufacturing (IJIDeM) / Issue 2/2019
Print ISSN: 1955-2513
Electronic ISSN: 1955-2505
DOI
https://doi.org/10.1007/s12008-018-0514-4

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