An Incremental-Hybrid-Yager’s Entropy Model for Dynamic Portfolio Selection with Fuzzy Variable
Joint Authors
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2018, Issue 2018 (31 Dec. 2018), pp.1-15, 15 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2018-12-02
Country of Publication
Egypt
No. of Pages
15
Main Subjects
Abstract EN
To settle down the resolutional uncertainty in optimum portfolio strategy, this paper addresses an incremental-hybrid-Yager’s entropy model to newly describe the relationship between return and risk.
Different from the traditional multiperiod portfolio, we design the ratio threshold to divide asset price into different time interval and use state instead of time point to model the dynamic portfolio process.
In addition, fuzzy variables are utilized to represent prices of assets, while historical data based on Markov chain is exploited to estimate membership functions of fuzzy prices.
At last, a compromised genetic algorithm is designed, and the numerical example shows that the proposed model achieves solid returns compared against the mean-variance model and Markov chain Monte Carlo method.
American Psychological Association (APA)
Li, Yin& Tao, Jian& Song, Yazhi. 2018. An Incremental-Hybrid-Yager’s Entropy Model for Dynamic Portfolio Selection with Fuzzy Variable. Discrete Dynamics in Nature and Society،Vol. 2018, no. 2018, pp.1-15.
https://search.emarefa.net/detail/BIM-1152777
Modern Language Association (MLA)
Li, Yin…[et al.]. An Incremental-Hybrid-Yager’s Entropy Model for Dynamic Portfolio Selection with Fuzzy Variable. Discrete Dynamics in Nature and Society No. 2018 (2018), pp.1-15.
https://search.emarefa.net/detail/BIM-1152777
American Medical Association (AMA)
Li, Yin& Tao, Jian& Song, Yazhi. An Incremental-Hybrid-Yager’s Entropy Model for Dynamic Portfolio Selection with Fuzzy Variable. Discrete Dynamics in Nature and Society. 2018. Vol. 2018, no. 2018, pp.1-15.
https://search.emarefa.net/detail/BIM-1152777
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1152777