| 基于离差-熵度量风险的组合投资优化模型研究 |
| |
| 引用本文： | 王金柱,王香柯.基于离差-熵度量风险的组合投资优化模型研究[J].科学技术与工程,2010,10(6). |
| |
| 作者姓名： | 王金柱 王香柯 |
| |
| 作者单位： | 1. 陕西教育学院数理工程系,西安,710061
2. 西安邮电学院,应用数学与应用物理系,西安,710061 |
| |
| 基金项目： | 陕西省教育厅专项科研计划项目(08JK433)资助 |
| |
| 摘 要： | 针对证券组合投资中存在的随机性,在投资收益达到一定水平下,综合考虑收益率的平均绝对离差和信息熵作为投资组合的风险度量,建立了数学模型。并用该模型进行了实例分析,结果表明,在投资收益不变的前提下,多方面的考虑风险,使得投资方案更安全。
|
| 关 键 词： | 组合投资 风险 离差 熵 多目标规划 |
| 收稿时间： | 2009/11/25 0:00:00 |
| 修稿时间： | 12/3/2009 3:11:41 PM |
Research on Portfolio Model with Deviation-Entropy Risk Measure |
| |
| wangjinzhu and wangxiangke.Research on Portfolio Model with Deviation-Entropy Risk Measure[J].Science Technology and Engineering,2010,10(6). |
| |
| Authors: | wangjinzhu and wangxiangke |
| |
| Institution: | Department of Mathematics and Physics engineering/a>;Shanxi Institute of Education/a>;Xi'an 710061/a>;P.R.China/a>;Department of Applied Mathematics and Applied Physics/a>;Xi'an Institute of Posts and Telecommunications 1/a>;P.R.China |
| |
| Abstract: | In the view of randomness exist in portfolio,the mathematical model is established by using average absolute deviation and information entropy to measure portfolio risk where return on investment is at a specified level.The results of example analysis by the model show that multidimensional consideration of risks makes investment proposals safer. |
| |
| Keywords: | portfolio risk deviation entropy multi-objective programming |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
| 点击此处可从《科学技术与工程》浏览原始摘要信息 |
| 点击此处可从《科学技术与工程》下载免费的PDF全文 |
