A new mean-variance-entropy model for uncertain portfolio optimization with liquidity and diversification

This paper deals with a portfolio optimization problem with uncertain returns. Here, the returns of risky assets are regarded as uncertain variables which are estimated by experienced experts. First, a mean-variance-entropy model for uncertain portfolio optimization problem is presented by taking in...

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Bibliographic Details

Published in:	Chaos, solitons and fractals Vol. 146; p. 110842
Main Authors:	Li, Bo, Zhang, Ranran
Format:	Journal Article
Language:	English
Published:	Elsevier Ltd 01.05.2021
Subjects:	Diversification Liquidity Portfolio optimization Return rate Uncertain variable Portfolio optimization Liquidity Return rate Uncertain variable Diversification
ISSN:	0960-0779, 1873-2887
Online Access:	Get full text
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