基于正弦熵的均值-风险模型

Mean-Risk Models Based on Sine Entropy

就不确定环境下投资组合问题探讨了最小化正弦熵模型.基于收益服从不确定分布,从投资者利益出发建立带有收益和风险的投资组合模型.为求解在不确定环境下的模型,通过数值积分法设计了混合智能算法,最后通过数值例子验证模型和算法的有效性.

In this paper,the Sine Entropy minimization model for portfolio selection problem is discussed under uncertainty environment.From the investors return,portfolio models with Sine Entropy-Mean-Risk which based on return with uncertainty distribution.In order to solve these models under uncertainty environment,a hybrid intelligent algorithm is designed by integrating numerical integration and genetic algorithm.Finally,two numerical examples are given to illustrate the modeling idea and the effectiveness of the proposed algorithm.