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Uncertain Portfolio Optimization based on Tsallis Entropy of Uncertain Sets
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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.
Title: Uncertain Portfolio Optimization based on Tsallis Entropy of Uncertain Sets
Description:
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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