Document Type : Research Article


Department of Mathematics, Faculty of Mathematics,Statistics and Computer Sciences, Semnan University, P.O. Box 35195-363, Semnan, Iran.



This paper investigates the complexities surrounding uncertain portfolio selection in cases where security returns are not well-represented by historical data. Uncertainty in security returns is addressed by treating them as uncertain variables. Portfolio selection models are developed using the quadratic-entropy of these uncertain variables, with entropy serving as a standard measure of diversification. Additionally, the study underscores the superior risk estimation accuracy of Average Value-at-Risk (AVaR) compared to variance. The research concentrates on the computational challenges of portfolio optimization in uncertain environments, utilizing the Mean-AVaR-Quadratic Entropy paradigm to meet investor requirements and assuage concerns. Two illustrative examples are provided to show the efficiency of the proposed models in this paper.


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