| 带有Yager熵约束的方差-混合熵投资组合优化模型 |
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| 引用本文： | 李静怡,周荣喜,王迪,张强.带有Yager熵约束的方差-混合熵投资组合优化模型[J].北京化工大学学报(自然科学版),2017,44(4):107-112. |
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| 作者姓名： | 李静怡 周荣喜 王迪 张强 |
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| 作者单位： | 北京化工大学经济管理学院,北京,100029;对外经济贸易大学金融学院,北京,100029 |
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| 基金项目： | 国家自然科学基金（71631005/71371024）；教育部人文社会科学研究规划基金（16YJA630078） |
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| 摘 要： | 通过引入可信性方法和Yager熵约束，建立以方差-混合熵（VHE）为风险度量的投资组合优化模型，通过上海证券交易所数据对均值-方差-混合熵模型（MVHEM）、均值-方差模型（MVM）和均值-混合熵（MHEM）模型进行实证比较分析。结果表明，本文所构建的模型可以较好地均衡方差和混合熵在风险控制方面的作用，Yager熵约束的引入可以进一步增强模型的稳定性，在控制风险水平的条件下实现了相对更高的累计收益。
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| 关 键 词： | 混合熵 Yager熵 投资组合优化模型 遗传算法 |
| 收稿时间： | 2016-05-31 |
A variance-hybrid entropy portfolio model study based on Yager's entropy |
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| LI JingYi,ZHOU RongXi,WANG Di,ZHANG Qiang.A variance-hybrid entropy portfolio model study based on Yager's entropy[J].Journal of Beijing University of Chemical Technology,2017,44(4):107-112. |
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| Authors: | LI JingYi ZHOU RongXi WANG Di ZHANG Qiang |
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| Institution: | 1. School of Economics and Management, Beijing University of Chemical Technology, Beijing 100029;2. School of Finance and Banking, University of International Business and Economics, Beijing 100029, China |
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| Abstract: | By introducing the concept of credibility measure and Yager's entropy constraint, this paper proposes a novel portfolio model with risk measured by variance-hybrid entropy (VHE). Empirical comparisons are made with the mean-variance-hybrid entropy model (MVHEM), the mean-variance model (MVM) and the mean-hybrid entropy model (MHEM) based on data from Shanghai stock exchange from 2013 to 2015. The results show that the model can effectively balance the effect of variance and hybrid entropy and that Yager's entropy constraint can enhance the stability of the model and succeed in maximizing the accumulative yield under controlled risk. |
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| Keywords: | hybrid entropy Yager's entropy portfolio optimization model genetic algorithm |
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