Fuzzy cross-entropy, mean, variance, skewness models for portfolio selection
In this paper, fuzzy stock portfolio selection models that maximize mean and skewness as well as minimize portfolio variance and cross-entropy are proposed. Because returns are typically asymmetric, in addition to typical mean and variance considerations, third order moment skewness is also consider...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2014-01-01
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| Series: | Journal of King Saud University: Computer and Information Sciences |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S1319157813000128 |