{"title":"Semi entropy of uncertain random variables and its application to portfolio selection","authors":"Jin-wu Gao, Hamed Ahmadzade, Mehran Farahikia","doi":"10.1007/s11766-022-4106-5","DOIUrl":null,"url":null,"abstract":"<div><p>Semi entropy is a measure to characterize the indeterminacy of the uncertain random variable considering the values of the uncertain random variable which are lower than the mean. As important roles of semi entropy in finance, this paper presents the concept of semi entropy for uncertain random variables. In order to compute semi entropy for uncertain random variables, Monte-Carlo approach is provided. As an application of semi entropy, portfolio selection problems are optimized based on mean-semi entropy mode.</p></div>","PeriodicalId":55568,"journal":{"name":"Applied Mathematics-A Journal of Chinese Universities Series B","volume":"37 3","pages":"383 - 395"},"PeriodicalIF":1.0000,"publicationDate":"2022-09-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://link.springer.com/content/pdf/10.1007/s11766-022-4106-5.pdf","citationCount":"2","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Applied Mathematics-A Journal of Chinese Universities Series B","FirstCategoryId":"1089","ListUrlMain":"https://link.springer.com/article/10.1007/s11766-022-4106-5","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 2
Abstract
Semi entropy is a measure to characterize the indeterminacy of the uncertain random variable considering the values of the uncertain random variable which are lower than the mean. As important roles of semi entropy in finance, this paper presents the concept of semi entropy for uncertain random variables. In order to compute semi entropy for uncertain random variables, Monte-Carlo approach is provided. As an application of semi entropy, portfolio selection problems are optimized based on mean-semi entropy mode.
期刊介绍：
Applied Mathematics promotes the integration of mathematics with other scientific disciplines, expanding its fields of study and promoting the development of relevant interdisciplinary subjects.
The journal mainly publishes original research papers that apply mathematical concepts, theories and methods to other subjects such as physics, chemistry, biology, information science, energy, environmental science, economics, and finance. In addition, it also reports the latest developments and trends in which mathematics interacts with other disciplines. Readers include professors and students, professionals in applied mathematics, and engineers at research institutes and in industry.
Applied Mathematics - A Journal of Chinese Universities has been an English-language quarterly since 1993. The English edition, abbreviated as Series B, has different contents than this Chinese edition, Series A.
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