基于投资者风险厌恶程度的广义熵投资组合模型研究  

Analysis on Generalized Entropy Principle Based on Risk Aversion Degree

作　　者：李华[1] 王宾[1] 王蕊 

机构地区：[1]辽宁科技大学工商管理学院,辽宁鞍山114051 [2]四川省东汽八一中学,四川德阳618000

出　　处：《数学的实践与认识》2013年第15期191-197,共7页Mathematics in Practice and Theory

基　　金：2011辽宁省高等学校杰出青年学者成长计划LJQ2011010(ljq2011010)

摘　　要：利用Csiszer定向散度理论,构建了证券投资组合领域的广义熵优化模型,通过引入投资者风险厌恶程度指数并将其定量化处理,得到在各支股票的投资比重,从而解决了目前证券投资组合领域存在的计算量大、未考虑投资者行为因素等缺陷;最后通过选取沪市四大指数中具有代表性的10支股票进行实证分析,同时与最大熵、最小叉熵优化模型对比,结果表明考虑了投资者风险厌恶程度指数的广义熵优化模型更符合投资者的投资需求,在实际应用中更具有可行性.This paper presents a generalized entropy model based on Csiszer directed diver- gence theory, which introduces quantization process for risk aversion degree and could calculate each investment weight for investors. The new model could also solve the huge calculation and unconsidered behavior factor of investors in cuPrent portfolio theories. Lastly the feasible of this model is certificated according to ten stocks in Chinese security market, and the results show that the generalized entropy model with risk aversion degree could be better fit for the investment demand than maximum entropy principle and minimum cross entropy principle. So it could provide more reasonable information for investment decisions.

关 键 词：Csiszer定向散度 广义熵理论 风险厌恶程度 投资组合 

分 类 号：F832.48[经济管理—金融学] F224