Mean-AVaR-Entropy optimization portfolio selection model in uncertain environments | ||
| Journal of Mathematics and Modeling in Finance | ||
| دوره 4، شماره 1، مهر 2024، صفحه 127-145 اصل مقاله (239.32 K) | ||
| نوع مقاله: Research Article | ||
| شناسه دیجیتال (DOI): 10.22054/jmmf.2024.79078.1129 | ||
| نویسندگان | ||
| Farahnaz Omidi؛ Leila Torkzadeh* ؛ Kazem Nouri | ||
| Department of Mathematics, Faculty of Mathematics,Statistics and Computer Sciences, Semnan University, P.O. Box 35195-363, Semnan, Iran. | ||
| چکیده | ||
| 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. | ||
| کلیدواژهها | ||
| Portfolio selection؛ Uncertain variables؛ Average Value-at-Risk؛ mean-AVaR-entropy؛ quadratic entropy | ||
| مراجع | ||
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آمار تعداد مشاهده مقاله: 718 تعداد دریافت فایل اصل مقاله: 558 |
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