A Risk-Free Protection Index Model for Multi-Objective Uncertain Portfolio Selection with Entropy and Variance Constraints

Gao Jianwei,Liu Huicheng

Table 2 Portfolio selections of the RFPI model with entropy and variance constraints (13)

Assets Stock 1 Stock 2 Stock 3 Stock 4 Bonds Risk-free asset Weight 0.0508 0.0655 0.0522 0.1127 0.1971 0.5217 RFPI Variance Expected return rate VaRU(0.9) 0.10 0.01 0.0796 0.0856