Mean-AVaR-Entropy optimization portfolio selection model in uncertain environments
عنوان مقاله: Mean-AVaR-Entropy optimization portfolio selection model in uncertain environments
شناسه ملی مقاله: JR_JMMF-4-1_009
منتشر شده در در سال 1403
شناسه ملی مقاله: JR_JMMF-4-1_009
منتشر شده در در سال 1403
مشخصات نویسندگان مقاله:
Farahnaz Omidi - Department of Mathematics, Faculty of Mathematics,Statistics and Computer Sciences, Semnan University, P.O. Box ۳۵۱۹۵-۳۶۳, Semnan, Iran.
Leila Torkzadeh - Department of Mathematics, Faculty of Mathematics,Statistics and Computer Sciences, Semnan University, P.O. Box ۳۵۱۹۵-۳۶۳, Semnan, Iran.
Kazem Nouri - Department of Mathematics, Faculty of Mathematics,Statistics and Computer Sciences, Semnan University, P.O. Box ۳۵۱۹۵-۳۶۳, Semnan, Iran.
خلاصه مقاله:
Farahnaz Omidi - Department of Mathematics, Faculty of Mathematics,Statistics and Computer Sciences, Semnan University, P.O. Box ۳۵۱۹۵-۳۶۳, Semnan, Iran.
Leila Torkzadeh - Department of Mathematics, Faculty of Mathematics,Statistics and Computer Sciences, Semnan University, P.O. Box ۳۵۱۹۵-۳۶۳, Semnan, Iran.
Kazem Nouri - Department of Mathematics, Faculty of Mathematics,Statistics and Computer Sciences, Semnan University, P.O. Box ۳۵۱۹۵-۳۶۳, Semnan, Iran.
This paper investigates the complexities surrounding uncertain portfolio selection in cases where security returns are not well-represented by historical data. Uncertainty in security returns is addressed by treating them as uncertain variables. Portfolio selection models are developed using the quadratic-entropy of these uncertain variables, with entropy serving as a standard measure of diversification. Additionally, the study underscores the superior risk estimation accuracy of Average Value-at-Risk (AVaR) compared to variance. The research concentrates on the computational challenges of portfolio optimization in uncertain environments, utilizing the Mean-AVaR-Quadratic Entropy paradigm to meet investor requirements and assuage concerns. Two illustrative examples are provided to show the efficiency of the proposed models in this paper.
کلمات کلیدی: Portfolio selection, Uncertain variables, Average Value-at-Risk, mean-AVaR-entropy, quadratic entropy
صفحه اختصاصی مقاله و دریافت فایل کامل: https://civilica.com/doc/2037241/