摘要
在不完全市场对收益率分布的确定存在很大的主观性,使得投资组合理论并未建立在合理的基础上,在一定程度上影响了实际投资效果。建立了组合收益率的最大熵分布,旨在为更好的投资提供新思路。对n支股票构成的投资组合系统,在已获取信息条件下,最大化熵函数,得到最大熵分布,并给出了该优化模型的解。结果表明:最大熵分布是根据部分信息进行推理时比较客观的分布,同时用熵解决了度量该投资组合系统的不确定性问题,从而为投资组合系统风险的度量提供有效参考。
The subjectivity, confirming the portfolio return distribution, makes the portfolio theory based on irrationality and influences the practical invest in an incomplete market. This paper builds the maximum entropy distribution of the portfolio return to give a new idea in portfolio. A portfolio system consisted of stocks was researched and a maximum entropy distribution was built under the all information. The solution of the optimization model was also obtained. It indicated that the maximum entropy distribution was more objective and entropy measures the uncertainty of a portfolio system rationally. This could give a reasonable reference to the system risk measure.
出处
《沈阳农业大学学报》
CAS
CSCD
北大核心
2007年第6期881-884,共4页
Journal of Shenyang Agricultural University
基金
沈阳农业大学校青年科研基金项目(2006114)
关键词
投资组合
最大熵分布
不确定性
信息
风险
portfolio
maximum entropy distribution
uncertainty
information
risk
