不确定随机变量的半熵及其在投资组合选择中的应用

IF 1 4区数学

Applied Mathematics-A Journal of Chinese Universities Series B Pub Date : 2022-09-20 DOI:10.1007/s11766-022-4106-5

Jin-wu Gao, Hamed Ahmadzade, Mehran Farahikia

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引用次数: 2

摘要

半熵是考虑到不确定随机变量的值小于平均值，来表征不确定随机变量的不确定性的一种度量。鉴于半熵在金融中的重要作用，本文提出了不确定随机变量的半熵概念。为了计算不确定随机变量的半熵，给出了蒙特卡罗方法。作为半熵的一种应用，基于平均-半熵模型对投资组合选择问题进行了优化。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Semi entropy of uncertain random variables and its application to portfolio selection

Semi entropy is a measure to characterize the indeterminacy of the uncertain random variable considering the values of the uncertain random variable which are lower than the mean. As important roles of semi entropy in finance, this paper presents the concept of semi entropy for uncertain random variables. In order to compute semi entropy for uncertain random variables, Monte-Carlo approach is provided. As an application of semi entropy, portfolio selection problems are optimized based on mean-semi entropy mode.

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来源期刊

Applied Mathematics-A Journal of Chinese Universities Series B MATHEMATICS, APPLIED-

自引率

10.00%

发文量

期刊介绍： Applied Mathematics promotes the integration of mathematics with other scientific disciplines, expanding its fields of study and promoting the development of relevant interdisciplinary subjects. The journal mainly publishes original research papers that apply mathematical concepts, theories and methods to other subjects such as physics, chemistry, biology, information science, energy, environmental science, economics, and finance. In addition, it also reports the latest developments and trends in which mathematics interacts with other disciplines. Readers include professors and students, professionals in applied mathematics, and engineers at research institutes and in industry. Applied Mathematics - A Journal of Chinese Universities has been an English-language quarterly since 1993. The English edition, abbreviated as Series B, has different contents than this Chinese edition, Series A.