A portfolio optimization model based on information entropy and fuzzy time series.
Rong-Xi ZhouZe-Bin YangMei YuDan A. RalescuPublished in: Fuzzy Optim. Decis. Mak. (2015)
Keyphrases
- information entropy
- portfolio optimization
- stock market
- stock price
- rough sets
- portfolio selection
- problems involving
- portfolio management
- stock exchange
- fuzzy logic
- risk management
- factor analysis
- non stationary
- financial time series
- decision table
- bi objective
- optimization methods
- robust optimization
- attribute values
- financial markets
- rough set theory
- databases
- genetic algorithm
- model selection
- multivariate time series
- knowledge discovery
- cluster analysis
- data analysis
- decision trees