Sensitivity Analysis of the Fuzzy Mean-Entropy Portfolio Model with Transaction Costs Based on Credibility Theory

摘要

This paper proposes the fuzzy mean-entropy portfolio models with transaction costs based on credibility theory. In the paper, entropy is used as the measurement of risk. Furthermore, sensitivity analysis is discussed for objective function coefficients and constraint coefficients on the right sides in our proposed models. In addition, two numerical examples are given to illustrate the effectiveness of our proposed models and the practicability of sensitivity analysis. More importantly, the obtained results also show that when certain coefficient changes in some value range, we still can obtain the unchanged optimal solutions or unchanged objective function values. Compared with Huang (IEEE Trans Fuzzy Syst 16:1096-1101, 18; Fuzzy Optim Decis Mak 10:71-89, 19), our paper not only proposes the mean-entropy models, but also does research work on sensitivity analysis about objective function coefficients and constraint coefficients in depth in maximizing return model and minimizing risk model. Our results can provide more choices for investors in the practical financial market.