Credibilistic Cross-Entropy Minimization Model
Kapur and Kesavan (1992) respectively proposed an entropy maximization model and a cross-entropy minimization model for portfolio optimization. The objective of the first model is to maximize the uncertainty of the random investment return and the second
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Zhongfeng Qin
Uncertain Portfolio Optimization
Uncertainty and Operations Research
More information about this series at http://www.springer.com/series/11709
Zhongfeng Qin
Uncertain Portfolio Optimization
123
Zhongfeng Qin School of Economics and Management Beihang University Beijing, China
ISSN 2195-996X ISSN 2195-9978 (electronic) Uncertainty and Operations Research ISBN 978-981-10-1809-1 ISBN 978-981-10-1810-7 (eBook) DOI 10.1007/978-981-10-1810-7 Library of Congress Control Number: 2016948705 © Springer Science+Business Media Singapore 2016 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. The publisher, the authors and the editors are safe to assume that the advice and information in this book are believed to be true and accurate at the date of publication. Neither the publisher nor the authors or the editors give a warranty, express or implied, with respect to the material contained herein or for any errors or omissions that may have been made. Printed on acid-free paper This Springer imprint is published by Springer Nature The registered company is Springer Science+Business Media Singapore Pte Ltd.
Preface
Portfolio optimization aims at choosing the proportions of various securities to be held in a portfolio, in such a way as to making the portfolio better than any other ones according to some criterion. The criterion will combine the considerations of expected value of the portfolio return as well as risk measure associated with the portfolio. By measuring the risk by variance of the portfolio return, Markowitz (1952) proposed the well-known mean-variance model by maximizing the expected return contingent on any given amount of risk or minimizing the risk contingent on any given expected return. The philosophy of mean-variance model is to trade off between risk and expected return since achieving a higher return requires taking on more risk. After Markowitz, variance is widely accepted as a risk measure and, most of the research is devoted to the extensions of mean-variance model. A main research extension is to add more arguments in the framework of meanvariance analysis. Another research extension is to change risk measure and propose new criteria. A typical extension is Konno and Yamazaki (1991), which employed absolute deviation to measure the risk of the portfolio return and formulated a mean-absolute devi
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