مدل پرتفوی بر مبنای میانگین-آنتروپی در محیط فازی: آنالیز حساسیت، هزینه های معامله بر پایه تئوری اعتبار

*       بهزادی، عادل؛ بختیاری، مصطفی(1395). ارائه مدلی بر مبنای میانگین– آنتروپی– چولگی برای بهینه سازی  سبد سهام در محیط فازی، مجله مهندسی مالی و مدیریت اوراق بهادار،شماره نوزدهم،صص39-55.

*       آقایی، محمد علی؛ سپاسی، سحر؛ کاظم‌پور، مرتضی.(1395). بررسی جامع روابط درونی ساختار سرمایه، جریان وجه نقد آزاد، انتروپی تنوع‌پذیری‌ محصولات و عملکرد (شرکت‌های پذیرفته شده در بورس اوراق بهادار تهران)،فصلنامه دانش سرمایه گذاری، دوره 5، شماره 20، صص 223-242.

*       Markowitz H,)1952(, Portfolio selection. J. Financ. 7, 77–91.

*       *  Markowitz, H,(1959), Portfolio Selection: Efficient Diversification of Investment.       Wiley, New York.

*       Markowitz, H.: Mean-Variance Analysis in Portfolio Choice and Capital Markets. Basil Blackwell, Oxford (1987).

*       Best J., Hlouskova J.,)2000(, The efficient frontier for bounded assets. Math. Methods Oper. Res. 52, 195–212.

*       Merton R.,)1972(, An analytic derivation of the efficient frontier. J. Financ. Quantit. Anal. 9, 1851–1872.

*       Pang J.,)1980(, A new efficient algorithm for a class of portfolio selection problems. Oper. Res. Int. J. 28, 754–767.

*       Perold, A.F.: Large-scale portfolio optimization. Manag. Sci. 30, 1143–1160.

*       Sharpe W.,)1970(, Portfolio Theory and Capital Markets. McGrawHill, New York.

*       Stein M., Branke J., Schmeck H.,)2008(, Efficient implementation of an active set algorithm for large-scale portfolio selection. Comput. Oper. 35, 3945–3961.

*       Anagnostopoulos K., Mamanis G.,)2011(,The mean-variance cardinality constrained portfolio optimization problem: an experimental evaluation of five multiobjective evolutionary algorithms. Expert Syst. 38, 14208–14217.

*       Liu B.,)2010(, Uncertainty Theory, 3rd edn. Spring-Verlag, Berlin.

*       Liu B., 2006, A survey of credibility theory. Fuzzy Optim. Decis. 5, 387–408.

*       Liu B., Iwamura K., 1998, Chance constrained programming with fuzzy parameters. Fuzzy Sets Syst. 94, 227–237.

*       Amiri M., Ekhtiari M., Yazdani M., 2011, Nadir compromise programming: a model for optimization of multi-objective portfolio problem. Experts Syst. Appl. 38, 7222–7226.

*       Bhattacharyya R., Kar S., Majumder, D., 2011, Fuzzy mean-variance-skewness portfolio selection models by interval analysis. Comput. Math.. 61, 126–137.

*       Dastkhan H., Gharneh N., Golmakani H., 2011, A linguisticbased portfolio selection model using weighted max-min operator and hybrid genetic algorithm. Expert Syst. Appl. 38, 11735–11743.

*       Philippatos G., Wilson C., 1972, Entropy, market risk, and the selection of efficient portfolios. Appl. Econ. 4, 209–220.

*       Huang, X., 2008, Mean-Entropy models for fuzzy portfolio selection. IEEE Trans. Fuzzy Syst. 16, 1096–1101.

*       Huang, X., 2011, Mean-risk model for uncertain portfolio selection. Fuzzy Optim Decis Mak 10, 71–89.

*       Mukesh K.,2016, Credibilistic mean-entropy models for multi-period portfolio selection with multi-choice aspiration levels. Inf. Sci. 345, 9–26.

*       Zhou R., Zhan Y., Cai R., Tong G., 2015, A mean-variance hybrid-entropy model for portfolio selection with fuzzy returns. Entropy 17, 3319–3331.

*       Zhang W., Zhang X., Chen Y.,2011, Portfolio adjusting optimization with added assets and transaction costs based on credibility measures. Insur. Math. Econ 49, 353–360.

*       Sadjadi S., Seyedhosseini S., Hassanlou, K.,2011, Fuzzy multi period portfolio selection with different rates for borrowing and lending. Appl. Soft Comput. 11, 3821–3826.

*       Li P., Liu, B.,2007, Entropy of credibility distributions for fuzzy variables. IEEE Trans. Fuzzy Syst. 16, 123–129.

*       Liu, S.,2011, The mean-absolute deviation portfolio selection problem with interval-valued returns. J. Comput. Appl. Math. 235, 4149–4157.

*       Liu S.,2011, A fuzzy modeling for fuzzy portfolio optimization. Experts Syst. Appl. 38, 13803–13809.

*       Qin Z., Li X., Li X.,2009, Portfolio selection based on fuzzy cross-entropy. J. Comput. Appl. Math. 228, 139–149.

*       Zhou R., Yang Z., Yu M.,2015, A portfolio optimization model based on information entropy and fuzzy time series. Fuzzy Optim Decis. 14, 381–397.

*       Yue W., Wang Y.,2017, A new fuzzy multi-objective higher order moment portfolio selection model for diversified portfolios. Phys. A 465, 124–140.

*       Chen W., Wang Y., Mehlawat M., A hybrid FA-SA algorithm for fuzzy portfolios selection with transaction costs. doi:10.1007/s9-016-2365-3.

*       Zadeh L.,1978, Fuzzy sets as a basis for a theory of possibility. Fuzzy Sets Syst. 1, 3–28.