Cross-entropy based multi-objective uncertain portfolio selection problem

• Published in: Journal of intelligent & fuzzy systems Vol. 32; no. 6; pp. 4467 - 4483
• Main Authors: Kar, Mohuya B., Majumder, Saibal, Kar, Samarjit, Pal, Tandra
• Format: Journal Article
• Language: English
• Published: London, England SAGE Publications 01.01.2017; Sage Publications Ltd
• Subjects: Algorithms; Classifying; Divergence; Entropy (Information theory); Genetic algorithms; Judgments; Mathematical models; Multiple objective analysis; Portfolio management; Security; Sorting algorithms; Stock exchanges; multi-objective genetic algorithm; uncertain variables; Portfolio selection; uncertain multi-objective programming

In most real life investment situations future security returns are represented mainly based on expert’s judgments due to the occurrence of unexpected incidents in economic and social changes or lack of historical data. In order to tackle such uncertainties, the returns of the securities are evaluat...