The fuzzy tri-objective mean-semivariance-entropy portfolio model with layer-by-layer tolerance evaluation method paper.

In a complex financial market, people pay more attention to the portfolio selection model in some fuzzy environment. Some properties and definitions of semivariance and entropy are given and proved in this paper. Then, the fuzzy tri-objective mean-semivariance-entropy portfolio model is proposed based on credibility theory when the return rates are fuzzy numbers. We present a novel layer-by-layer tolerance evaluation method to solve the proposed model in this paper. Finally, a numerical example is given to illustrate the effectiveness of the model and method proposed in this paper. There are two improvements in our proposed method: one is that the evaluation function idea is considered in the process of laying objective functions; the other is that the preference degree and subjective wills are presented by tolerant amounts of objective function values. [ABSTRACT FROM AUTHOR]