Triangular entropy of uncertain variables with application to portfolio selection
Soft Computing - A Fusion of Foundations, Methodologies and Applications(2014)
摘要
Entropy is used as a measure to characterize the uncertainty. So far, entropy for uncertain variables in the forms of logarithm function and triangular function has been proposed. This paper mainly studies the concept of triangular entropy, and verifies its properties such as translation invariance and positive linearity. As an application, this paper also considers a mean-variance portfolio selection problem with triangular entropy as a constraint.
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关键词
Entropy, Uncertain variable, Uncertainty theory, Portfolio selection
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