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

Gao Jianwei,Liu Huicheng

Table 5 Optimal portfolio selections based on MVM

Stock 1 Stock 2 Stock 3 Stock 4 Bonds Risk-free asset Expected return rate RFPI Variance VaRU 0.0893 0.1380 0.1380 0.2281 0.0000 0.5000 0.1053 0.1020 0.0100 0.1328 0.0854 0.1092 0.1077 0.1455 0.0522 0.5000 0.0921 0.1913 0.0050 0.1098 0.0462 0.0500 0.0818 0.0515 0.1000 0.6705 0.0678 0.1913 0.0010 0.0784