| 一种证券投资风险度量方法的应用研究 |
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| 引用本文： | 崔海波,赵希男,张利兵.一种证券投资风险度量方法的应用研究[J].系统工程,2004,22(3):88-91. |
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| 作者姓名： | 崔海波 赵希男 张利兵 |
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| 作者单位： | 东北大学,工商管理学院,辽宁,沈阳,110004 |
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| 基金项目： | 国家重大科技攻关项目 (2 0 0 1 BA2 0 6 A- 4 - 5 ) |
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| 摘 要： | 对证券投资风险度量方法进行总结，指出风险的本质，提出证券投资风险度量的一种新方法——熵度量法，在此基础上研究并提出一种新的投资组合模型，然后考虑交易费用和多目标投资决策的情况，最后进行实证研究。
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| 关 键 词： | 信息熵 证券收益率 分布函数 证券投资组合模型 证券市场 证券投资风险度量 |
| 文章编号： | 1001-4098(2004)03-0088-04 |
On the Application of a Method of Measuring Security Investment Risks |
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| CUI Hai bo,ZHAO Xi nan.On the Application of a Method of Measuring Security Investment Risks[J].Systems Engineering,2004,22(3):88-91. |
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| Authors: | CUI Hai bo ZHAO Xi nan |
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| Abstract: | This paper summarizes the methods of measuring the security investment risks firstly and comes up with the risk nature, then the article proposes a new way to measure the security investment risk entropy measuring method in an attempt to investigate and put forward a new model of portfolio and afterwards considers the dealing expenses and the multi goal investment decision making. Finally, a case study on its application was given. |
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| Keywords: | Information Entropy Security Investment Risks Portfolio Dealing Cost Multi Objective Decision Making |
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