期望效用-熵决策模型在沪市证券投资选择中的应用研究  

Application of Expected Utility-Entropy Decision Model in Securities Selecting in Shanghai Stock Market

作　　者：杨继平[1] 张力健[1] 

机构地区：[1]北京航空航天大学经济管理学院,北京100083

出　　处：《系统工程》2005年第12期23-29,共7页Systems Engineering

摘　　要：对期望效用-熵决策模型作了简要介绍,然后将该决策模型应用到投资决策领域;利用沪市证券市场的实际数据进行验证,应用该决策模型对原上证30指数样本股进行择优筛选,并对其筛选结果与二阶随机占优准则筛选的结果进行比较,得到如下结论:与二阶随机占优准则相比,利用期望效用-熵决策模型选择股票更易于操作,并且选出的股票进行优化组合可得到收益更高、风险更小的投资回报。At first we introduce a new decision model, the Expected Utility-Entropy（EU-E） decision model, then apply the decision model to securities selecting. To verify the effectiveness of EU-E decision model in securities selecting, we compare the decision model with another conventional securities selecting method, the Second-degree Stochastic Dominance （SSD） rule. We draw a conclusion that the portfolios made by stocks selected by EU-E decision model can be more profit with a fixed risk than that by stocks selected by the SSD rule, and the EU-E model is much more convenient for investor to operate compared with SSD rule.

关 键 词：证券投资 股票筛选 期望效用-熵模型 二阶随机占优准则 

分 类 号：F830[经济管理—金融学]