The Fuzzy Mean-Entropy Portfolio Model: Sensitivity Analysis, Transaction Costs Based on Credibility Theory

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LARI DASHTBAYAZ MAHMOUD; Mohammadi Shaban; NAGHSHBANDI NADER

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Journal: INVESTMENT KNOWLEDGE Year:2019 | Volume:8 | Issue:29 Page(s): 257-273

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Information Journal Paper

Title

The Fuzzy Mean-Entropy Portfolio Model: Sensitivity Analysis, Transaction Costs Based on Credibility Theory

Author(s)

LARI DASHTBAYAZ MAHMOUD | Mohammadi Shaban | NAGHSHBANDI NADER | Issue Writer Certificate

Keywords

sensitivity analysisQ1

entropyQ1

transaction costsQ2

fuzzyQ1

Abstract

The purpose of this study is to investigate the stock portfolio model based on the average entropy in a fuzzy environment with transaction costs based on the theory of credit for 10 stocks in Tehran Stock Exchange in 1396. The present study is not based on average-entropy based models but on the sensitivity analysis of the target function coefficients and the limiting coefficients, especially in maximizing the recursive model and the minimum risk model. entropy and sensitivity analysis were used to measure the risk and the coefficients of the objective function and the limitations. The results show that when the coefficients change in the range of values, either the optimized answer or the fixed values of the objective function are obtained. The research results help investors to be more confident in their choices.

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APA: Copy

LARI DASHTBAYAZ, MAHMOUD, Mohammadi, Shaban, & NAGHSHBANDI, NADER. (2019). The Fuzzy Mean-Entropy Portfolio Model: Sensitivity Analysis, Transaction Costs Based on Credibility Theory. INVESTMENT KNOWLEDGE, 8(29 ), 257-273. SID. https://sid.ir/paper/188165/en

Vancouver: Copy

LARI DASHTBAYAZ MAHMOUD, Mohammadi Shaban, NAGHSHBANDI NADER. The Fuzzy Mean-Entropy Portfolio Model: Sensitivity Analysis, Transaction Costs Based on Credibility Theory. INVESTMENT KNOWLEDGE[Internet]. 2019;8(29 ):257-273. Available from: https://sid.ir/paper/188165/en

IEEE: Copy

MAHMOUD LARI DASHTBAYAZ, Shaban Mohammadi, and NADER NAGHSHBANDI, “The Fuzzy Mean-Entropy Portfolio Model: Sensitivity Analysis, Transaction Costs Based on Credibility Theory,” INVESTMENT KNOWLEDGE, vol. 8, no. 29 , pp. 257–273, 2019, [Online]. Available: https://sid.ir/paper/188165/en

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