An Incremental-Hybrid-Yager’s Entropy Model for Dynamic Portfolio Selection with Fuzzy Variable
To settle down the resolutional uncertainty in optimum portfolio strategy, this paper addresses an incremental-hybrid-Yager’s entropy model to newly describe the relationship between return and risk. Different from the traditional multiperiod portfolio, we design the ratio threshold to divide asset...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Wiley
2018-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2018/7387210 |
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| _version_ | 1832559079394902016 |
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| author | Yin Li Jian Tao Yazhi Song |
| author_facet | Yin Li Jian Tao Yazhi Song |
| author_sort | Yin Li |
| collection | DOAJ |
| description | To settle down the resolutional uncertainty in optimum portfolio strategy, this paper addresses an incremental-hybrid-Yager’s entropy model to newly describe the relationship between return and risk. Different from the traditional multiperiod portfolio, we design the ratio threshold to divide asset price into different time interval and use state instead of time point to model the dynamic portfolio process. In addition, fuzzy variables are utilized to represent prices of assets, while historical data based on Markov chain is exploited to estimate membership functions of fuzzy prices. At last, a compromised genetic algorithm is designed, and the numerical example shows that the proposed model achieves solid returns compared against the mean-variance model and Markov chain Monte Carlo method. |
| format | Article |
| id | doaj-art-7623b99f95e2498c9eda99ec4830d31b |
| institution | Kabale University |
| issn | 1026-0226 1607-887X |
| language | English |
| publishDate | 2018-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-7623b99f95e2498c9eda99ec4830d31b2025-02-03T01:30:51ZengWileyDiscrete Dynamics in Nature and Society1026-02261607-887X2018-01-01201810.1155/2018/73872107387210An Incremental-Hybrid-Yager’s Entropy Model for Dynamic Portfolio Selection with Fuzzy VariableYin Li0Jian Tao1Yazhi Song2Key Laboratory of Applied Statistics of MOE, School of Mathematics and Statistics, Northeast Normal University, Changchun, Jilin 130024, ChinaKey Laboratory of Applied Statistics of MOE, School of Mathematics and Statistics, Northeast Normal University, Changchun, Jilin 130024, ChinaBusiness School, Jiangsu Normal University, Xuzhou, Jiangsu 221116, ChinaTo settle down the resolutional uncertainty in optimum portfolio strategy, this paper addresses an incremental-hybrid-Yager’s entropy model to newly describe the relationship between return and risk. Different from the traditional multiperiod portfolio, we design the ratio threshold to divide asset price into different time interval and use state instead of time point to model the dynamic portfolio process. In addition, fuzzy variables are utilized to represent prices of assets, while historical data based on Markov chain is exploited to estimate membership functions of fuzzy prices. At last, a compromised genetic algorithm is designed, and the numerical example shows that the proposed model achieves solid returns compared against the mean-variance model and Markov chain Monte Carlo method.http://dx.doi.org/10.1155/2018/7387210 |
| spellingShingle | Yin Li Jian Tao Yazhi Song An Incremental-Hybrid-Yager’s Entropy Model for Dynamic Portfolio Selection with Fuzzy Variable Discrete Dynamics in Nature and Society |
| title | An Incremental-Hybrid-Yager’s Entropy Model for Dynamic Portfolio Selection with Fuzzy Variable |
| title_full | An Incremental-Hybrid-Yager’s Entropy Model for Dynamic Portfolio Selection with Fuzzy Variable |
| title_fullStr | An Incremental-Hybrid-Yager’s Entropy Model for Dynamic Portfolio Selection with Fuzzy Variable |
| title_full_unstemmed | An Incremental-Hybrid-Yager’s Entropy Model for Dynamic Portfolio Selection with Fuzzy Variable |
| title_short | An Incremental-Hybrid-Yager’s Entropy Model for Dynamic Portfolio Selection with Fuzzy Variable |
| title_sort | incremental hybrid yager s entropy model for dynamic portfolio selection with fuzzy variable |
| url | http://dx.doi.org/10.1155/2018/7387210 |
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