| 基于信息熵的投资组合模型 |
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| 引用本文： | 刘瑞芹,仓定帮,戴伟军. 基于信息熵的投资组合模型[J]. 华北科技学院学报, 2008, 5(2): 82-84 |
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| 作者姓名： | 刘瑞芹 仓定帮 戴伟军 |
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| 作者单位： | 华北科技学院,北京,东燕郊,101601;华北科技学院,北京,东燕郊,101601;华北科技学院,北京,东燕郊,101601 |
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| 摘 要： | 本文用信息熵来代替协方差矩阵度量投资的风险，大大简化了模型的计算。在模糊环境下对模型进行求解，将投资者的愿望反映在投资组合中。
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| 关 键 词： | 熵 投资组合 收益 风险 |
| 文章编号： | 1672-7169(2008)02-0082-03 |
| 修稿时间： | 2008-04-25 |
Optimization Model of Investment Portfolio Based on Entropy |
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| LIU Riuqin,CANG Dingbang,DAI Weijun. Optimization Model of Investment Portfolio Based on Entropy[J]. Journal of North China Institute of Science and Technology, 2008, 5(2): 82-84 |
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| Authors: | LIU Riuqin CANG Dingbang DAI Weijun |
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| Affiliation: | (North China Institute of Science and Technoligy,Yanjiao Beijing-East 101601 ) |
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| Abstract: | In this paper, the risk is taken as entropy instead of covariance which alleviate the computational difficulty greatly, The investor＇s impact is reflected in the model of the fuzzy decision -making environment. |
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| Keywords: | entropy investment portfolio revenue risk |
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