熵风险下的国内证券投资组合模型  

Combined Model of Domestic Security Investment under Entropy Risk

作　　者：李江涛[1] 王建国[1] 马晓波[1] 

机构地区：[1]西安建筑科技大学理学院,陕西西安710055

出　　处：《商业经济》2009年第21期64-65,共2页Business & Economy

摘　　要：通过结合我国的实际情况,考虑交易费用、限制约束、最小交易单位以及限制卖空等几个条件,建立一套针对我国证券市场的投资组合熵模型。该模型主要运用了求解整数规划问题的方法,根据主要赋予风险水平不同的取值,对模型进行求解,求得出对于不同风险水平的最优分配方案,以及对应收益的极大值,确定模型的有效边界,从而得出的结论:该模型是一套针对我国股票市场有效的投资组合模型,其与我国真实股票市场情况更接近,实用性更强。According to Chinese situation and several conditions of transaction cost, restriction, minimum transaction unit and constraint on short sale, we can establish a set of partfolio entropy model for Chinese security market. This model, by applying the method of solu- tion integer and different value d main endowed risk, draws out the optimal allocation plan on different risks and the maximum value of corresponding profits, settles the effective boundary of the model, and concludes that this model is an effective portfolio model for Chi- nese stock market, which is more practical and closer to real stock market in China.

关 键 词：投资组合模型 熵 交易费用 均值-熵模型 

分 类 号：F740[经济管理—国际贸易]