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基于离差-熵度量风险的组合投资优化模型研究 被引量:1

Research on Portfolio Model with Deviation-entropy Risk Measur
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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。 In the view of randomness exist in portfolio, the mathematical model is established absolute deviation and information entropy to measure portfolio risk where return on investment by using average is at a specified level. The results of example analysis by the model show that multidimensional consideration of risks makes investment proposals safer.
出处 《科学技术与工程》 2010年第6期1337-1340,共4页 Science Technology and Engineering
基金 陕西省教育厅专项科研计划项目(08JK433)资助
关键词 组合投资 风险 离差 多目标规划 portfolio risk deviation entropy multi-objective programming
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