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Multi objective mean–variance–skewness model with Burg’s entropy and fuzzy return for portfolio optimization

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  • Amritansu Ray

    (Indian Institute of Engineering Science and Technology (IIEST), Shibpur)

  • Sanat Kumar Majumder

    (Indian Institute of Engineering Science and Technology (IIEST), Shibpur)

Abstract

A new non-Shannon fuzzy Mean–Variance–Skewness-entropy model is proposed with stock returns are considered as triangular fuzzy numbers. The fuzzy stock portfolio selection models are presented with credibility theory that maximizes mean and skewness and minimizes portfolio variance and cross-entropy in terms of Burg. With addition of Burg’s entropy in the multi objective non linear models, focus is the generation of well diversified portfolios within the optimal allocation. For an imprecise capital market, this study facilitates a more reasonable investment decisions with four objective decision criteria including Burg’s entropy. Numerical examples with case studies are used to illustrate the entire method which can be efficiently used in practical purposes like national stock exchanges.

Suggested Citation

  • Amritansu Ray & Sanat Kumar Majumder, 2018. "Multi objective mean–variance–skewness model with Burg’s entropy and fuzzy return for portfolio optimization," OPSEARCH, Springer;Operational Research Society of India, vol. 55(1), pages 107-133, March.
    • Handle: RePEc:spr:opsear:v:55:y:2018:i:1:d:10.1007_s12597-017-0311-z
    DOI: 10.1007/s12597-017-0311-z
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