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

Subject Areas : Journal of Investment Knowledge

Mahmoud Lari Dashtbayaz ¹ , Shaban Mohammadi ² , Nader Naghshbandi ³

1 - Assistant profesor of accounting, Ferdowsi University of Mashhad, Mashhad, Iran
2 - MSc. Department of Accounting- Hakim Nezami institution of higher education at Quchan , Iran
3 - Associate profesor of Accounting, Hakim Nezami institution of higher education at Quchan, Iran

Received: 2017-09-23 Accepted : 2018-03-13 Published : 2019-03-21

Keywords: Sensitivity analysis, Entropy, transaction costs, fuzzy,

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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