Order υ entropy and cross entropy of uncertain variables for portfolio selection

Abstract

In this study, we proposed definition of order υ entropy and order υ cross entropy of uncertain variables under uncertainty theory. Moreover, order υ entropy and order υ cross entropy of uncertain variables were applied to mean-variance portfolio selection model. We also attempted to examine the applications of these measures with different order υ values. The effect of the υ in order υ entropy and cross entropy on portfolio selection were considered using the order υ entropy-mean-variance and 571781799order υentropy-mean-variance presented models. As a result of this approach, by using different values of υ, diversity of asset allocations could be achieved.