Uncertain Portfolio Optimization based on Tsallis Entropy of Uncertain Sets

2022 · doi:10.21203/rs.3.rs-1925999/v1
preprint OA: closed CC-BY-4.0
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Abstract

Abstract Tsallis entropy is a flexible device to measure indeterminacy of uncertain sets. A formula is obtained to calculate Tsallis entropy of uncertain sets via inversion of membership functions. Also, by considering Tsallis entropy as a risk measure, we optimize portfolio selection problems via mean-entropy models.

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License: CC-BY-4.0