Indeterminacy in portfolio selection

This paper develops the indeterminacy in “portfolio selection” putting together a modification of a device of measure theory used in our previous papers and Shannon's entropy of information. We obtain an expectation, variance and indeterminacy (E–V–I) functional which is a generalization of the expectation quadratic utility. If I=0 our model is more coherent with the expectation–variance (E–V) model than the classical model and if I>0 our model yields a warning about the risk from indeterminacy that expectation quadratic utility model does not. A numerical method and its statistical application with Italian data illustrates the results.