1. Comparing Entropies in Portfolio Diversification with Fuzzy Value at Risk and Higher-Order Moment
- Author
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Shokoufe Banihashemi, S. Pourmohammad Azizi, Mahdi Pourrafiee, and AmirHossein Nafei
- Subjects
0209 industrial biotechnology ,Logic ,Applied Mathematics ,media_common.quotation_subject ,02 engineering and technology ,Ambiguity ,Management Science and Operations Research ,Fuzzy logic ,Industrial and Manufacturing Engineering ,Theoretical Computer Science ,Moment (mathematics) ,020901 industrial engineering & automation ,Artificial Intelligence ,Control and Systems Engineering ,Order (exchange) ,Credibility ,0202 electrical engineering, electronic engineering, information engineering ,Econometrics ,Entropy (information theory) ,Portfolio ,020201 artificial intelligence & image processing ,Value at risk ,Information Systems ,media_common ,Mathematics - Abstract
Credibility fuzzy value at risk in portfolio models is a reasonable solution when investors may face ambiguity, lack of historical data, and when avoiding normally or symmetrically distributed assu...
- Published
- 2020
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