改进的期望效用-熵模型在沪市股票选择中的应用研究  

Application of the Modified Expected Utility-Entropy Model to Stocks Selecting in Shanghai Stock Market

作　　者：王中魁[1] 杨继平[2] 张力健[2] 

机构地区：[1]郑州轻工业学院经济与管理学院,河南郑州450002 [2]北京航空航天大学经济管理学院,北京100191

出　　处：《数学的实践与认识》2009年第8期27-34,共8页Mathematics in Practice and Theory

基　　金：国家自然科学基金(70871003)

摘　　要：用Arrow-Pratt风险厌恶度来度量期望效用-熵平衡系数以改进风险型决策的期望效用-熵模型;根据改进的期望效用-熵模型以及期望效用准则,分别从上证50指数样本股中选取7只股票构造投资组合,进行比较.研究结果表明,用改进的期望效用-熵模型得到的股票组合效果更优.Based on Arrow-Pratt risk aversion, we propose a measure of expected utilityentropy tradeoff coefficient to modify the expected utility-entropy decision model. Using this modified model and the expected utility, we select 7 stocks from Shanghai 50 Index respectively to compose portfolios. The conclusion shows that the modified expected utility-entropy decision model is a better decision criteriou to select stocks than expected utility criterion to some extent.

关 键 词：改进的期望效用-熵模型 期望效用准则 财富水平 投资组合 

分 类 号：F832.51[经济管理—金融学] F224