An optimistic value–variance–entropy model of uncertain portfolio optimization problem under different risk preferences
Bo Li, Yadong Shu, Yufei Sun, Kok Lay Teo
Topics & Concepts
Portfolio optimizationPortfolioMathematical optimizationEntropy (arrow of time)Diversification (marketing strategy)Optimization problemComputer scienceEconometricsVariance (accounting)Fuzzy logicMathematicsEconomicsArtificial intelligenceFinanceMarketingQuantum mechanicsPhysicsBusinessAccountingFuzzy Systems and OptimizationRisk and Portfolio OptimizationMulti-Criteria Decision Making