Triangular entropy of uncertain variables with application to portfolio selection

Entropy is used as a measure to characterize the uncertainty. So far, entropy for uncertain variables in the forms of logarithm function and triangular function has been proposed. This paper mainly studies the concept of triangular entropy, and verifies its properties such as translation invariance and positive linearity. As an application, this paper also considers a mean-variance portfolio selection problem with triangular entropy as a constraint.

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