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

Gao Jianwei,Liu Huicheng

Table 3 Portfolio selections of the RFPI model without entropy constraint (14)

Assets Stock 1 Stock 2 Stock 3 Stock 4 Bonds Risk-free asset Weight 0.0804 0.0865 0.0370 0.1973 0.0878 0.5110 RFPI Variance Expected return rate VaRU(0.9) 0.20 0.01 0.1002 0.1105