Credibilistic Cross-Entropy Minimization Model

Zhongfeng Qin

doi:10.1007/978-981-10-1810-7_4

Credibilistic Cross-Entropy Minimization Model

Zhongfeng Qin^*

^*Corresponding author for this work

School of Economics and Management

Research output: Chapter in Book/Report/Conference proceeding › Chapter › peer-review

Abstract

Kapur and Kesavan (1992) respectively proposed an entropy maximization model and a cross-entropy minimization model for portfolio optimization. The objective of the first model is to maximize the uncertainty of the random investment return and the second one is to minimize the divergence of the random investment return from a priori one. From then on, many researchers accepted the criterion and investigated these entropy optimization models (Cherny and Maslov 2003; Fang et al. 1997; Rubinstein 2008; Simonelli 2005).

Original language	English
Title of host publication	Uncertainty and Operations Research
Publisher	Springer Nature
Pages	71-82
Number of pages	12
DOIs	https://doi.org/10.1007/978-981-10-1810-7_4
State	Published - 2016

Publication series

Name	Uncertainty and Operations Research
ISSN (Print)	2195-996X
ISSN (Electronic)	2195-9978

Keywords

Entropy Maximization Model
Fuzzy Entropy
Fuzzy Variable
Investment Return
Risk Measure

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10.1007/978-981-10-1810-7_4

Cite this

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abstract = "Kapur and Kesavan (1992) respectively proposed an entropy maximization model and a cross-entropy minimization model for portfolio optimization. The objective of the first model is to maximize the uncertainty of the random investment return and the second one is to minimize the divergence of the random investment return from a priori one. From then on, many researchers accepted the criterion and investigated these entropy optimization models (Cherny and Maslov 2003; Fang et al. 1997; Rubinstein 2008; Simonelli 2005).",

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AB - Kapur and Kesavan (1992) respectively proposed an entropy maximization model and a cross-entropy minimization model for portfolio optimization. The objective of the first model is to maximize the uncertainty of the random investment return and the second one is to minimize the divergence of the random investment return from a priori one. From then on, many researchers accepted the criterion and investigated these entropy optimization models (Cherny and Maslov 2003; Fang et al. 1997; Rubinstein 2008; Simonelli 2005).

KW - Entropy Maximization Model

KW - Fuzzy Entropy

KW - Fuzzy Variable

KW - Investment Return

KW - Risk Measure

UR - https://www.scopus.com/pages/publications/85125960725

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DO - 10.1007/978-981-10-1810-7_4

M3 - 章节

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T3 - Uncertainty and Operations Research

SP - 71

EP - 82

BT - Uncertainty and Operations Research

PB - Springer Nature

ER -

Credibilistic Cross-Entropy Minimization Model

Abstract

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Keywords

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