基于熵的投资组合优化模型的研究综述

Markowitz定义的以证券收益率的方差为证券风险的度量方式存在计算复杂、高估风险(高于期望收益的部分也视为风险的范畴)和收益率分布只能是正态分布的局限性.为了解决这种风险度量的局限性,研究了证券投资组合理论的风险度量方法,本着尽可能分散投资风险的原则,从信息熵的定义出发,构建了基于随机不确定熵、模糊不确定熵、模糊随机不确定熵的三种投资组合模型,提出的模型满足各种不同投资环境中对应的模型,使对证券投资组合模型的应用和研究更客观合理.

Similarity measure on intuitionistic fuzzy sets

Study of fuzzy entropy and similarity measure on intuitionistic fuzzy sets (IFSs) was proposed and analyzed. Unlike fuzzy set, IFSs contain uncertainty named hesitance, which is contained in fuzzy membership function itself. Hence, designing fuzzy entropy is not easy because of many entropy definitions. By considering different fuzzy entropy definitions, fuzzy entropy on IFSs is designed and discussed. Similarity measure was also presented and its usefulness was verified to evaluate degree of similarity.