风险的三维熵式度量法在国债投资组合中的应用研究  

A Research into the Application of Three-dimension Entropy Measurement of Risks in the Portfolio of Treasure Bonds

作　　者：王晓芳[1] 王永宁[1] 

机构地区：[1]西安交通大学经济与金融学院,陕西西安710061

出　　处：《经济经纬》2010年第2期134-136,共3页Economic Survey

基　　金：国家社会科学基金资助项目(08BJY153)

摘　　要：投资国债存在利率风险。本文引入三维熵式度量法对利率风险进行评价,该方法可满足投资者根据自己对风险的喜好和厌恶程度进行不同的风险排序,弥补了传统风险度量法假设利率恒定不变和一维评价的不足之处,利用该模型选出的国债在一定条件下可以达到最大收益和最小风险的目的,可为投资者进行国债投资组合提供很好的投资依据。Investment in treasure bonds has interest rate risk, The authors introduce three -dimension entropy measurement in this paper to evaluate interest rate risk. The method can meet investors＇ need to rank the risks according to their own likes and dislikes to risks, and offsets defects of traditional measurement of risks which supposes the interest rate is invariable and which is one - dimensional evaluation. The treasury bonds selected with the model can achieve the purpose of maximum benefits and minimum risk under given conditions, so this method can provide appropriate basis for the investors of treasure bond portfolio.

关 键 词：国债 利率风险 三维熵式度量法 

分 类 号：F830.91[经济管理—金融学]