Abstract
In this paper, we define the portfolio return as fuzzy average yield and risk as hybrid-entropy and variance to deal with the portfolio selection problem with both random uncertainty and fuzzy uncertainty, and propose a mean-variance hybrid-entropy model (MVHEM). A multi-objective genetic algorithm named Non-dominated Sorting Genetic Algorithm II (NSGA-II) is introduced to solve the model. We make empirical comparisons by using the data from the Shanghai and Shenzhen stock exchanges in China. The results show that the MVHEM generally performs better than the traditional portfolio selection models.
Highlights
The financial market is a complex system, in which investors need to make a tradeoff between return and risk in an uncertain environment
Abstracts: In this paper, we define the portfolio return as fuzzy average yield and risk as hybrid-entropy and variance to deal with the portfolio selection problem with both random uncertainty and fuzzy uncertainty, and propose a mean-variance hybrid-entropy model (MVHEM)
The results show that the MVHEM generally performs better than the traditional portfolio selection models
Summary
Abstracts: In this paper, we define the portfolio return as fuzzy average yield and risk as hybrid-entropy and variance to deal with the portfolio selection problem with both random uncertainty and fuzzy uncertainty, and propose a mean-variance hybrid-entropy model (MVHEM). A multi-objective genetic algorithm named Non-dominated Sorting. Genetic Algorithm II (NSGA-II) is introduced to solve the model. We make empirical comparisons by using the data from the Shanghai and Shenzhen stock exchanges in China. The results show that the MVHEM generally performs better than the traditional portfolio selection models
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