| 基于对数期望-熵模型的证券组合投资研究 |
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| 引用本文： | 梁昌勇,吴坚,黄永青. 基于对数期望-熵模型的证券组合投资研究[J]. 合肥工业大学学报(自然科学版), 2006, 29(8): 941-944 |
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| 作者姓名： | 梁昌勇 吴坚 黄永青 |
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| 作者单位： | 合肥工业大学,管理学院,安徽,合肥,230009;合肥工业大学,管理学院,安徽,合肥,230009;合肥工业大学,管理学院,安徽,合肥,230009 |
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| 基金项目： | 国家自然科学基金资助项目(70171033)，安徽省重点科研资助项目(01041176) |
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| 摘 要： | 由于证券是一种连续投资,算术平均收益率并不能完全反映投资的收益情况,而几何平均期望收益率才能反映连续投资的实际收益。文章建立了对数期望-熵模型来度量投资的风险,并以沪市证券市场进行实证研究,利用该模型选出适当数量的股票进行优化组合。
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| 关 键 词： | 证券组合投资 几何平均期望 熵 |
| 文章编号： | 1003-5060(2006)08-0941-04 |
| 修稿时间： | 2005-07-27 |
Research on portfolio investment based on the expectation of logarithm-entropy model |
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| LIANG Chang-yong,WU Jian,HUANG Yong-qing. Research on portfolio investment based on the expectation of logarithm-entropy model[J]. Journal of Hefei University of Technology(Natural Science), 2006, 29(8): 941-944 |
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| Authors: | LIANG Chang-yong WU Jian HUANG Yong-qing |
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| Abstract: | The arithmetic mean expectation model is not able to measure the income of portfolio investment correctly as bonds are a kind of successive investment,but the geometric average expectation can measure the income of successive investment.In this paper,the expectation of logarithm-entropy model is established to measure the risk of successive investment,and the optimal portfolio of a number of stocks selected by this model in Shanghai Securities Market is obtained. |
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| Keywords: | portfolio investment geometric average expectation entropy |
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