基于熵的投资组合优化模型的研究综述  

A Review of the Optimal Portfolio Model Based on Entropy

作　　者：孙全德[1] 邓雪[1] SUN Quan-de DENG Xue(School of Mathematics, South China University of Technology, Guangzhou 510640, China)

机构地区：[1]华南理工大学数学学院,广东广州510640

出　　处：《兰州文理学院学报（自然科学版）》2017年第1期39-42,共4页Journal of Lanzhou University of Arts and Science(Natural Sciences)

基　　金：国家自然科学基金(11271140);教育部人文社会科学青年基金项目(13YJCZH030);2016广东省自然科学基金自由项目(2016A030313545);2015年华南理工大学中央高校基本科研业务费重点项目(x2lxD2152360);2015年广东省学位与研究生教育改革研究重点项目(2015JGXM-ZD03)

摘　　要：Markowitz定义的以证券收益率的方差为证券风险的度量方式存在计算复杂、高估风险(高于期望收益的部分也视为风险的范畴)和收益率分布只能是正态分布的局限性.为了解决这种风险度量的局限性,研究了证券投资组合理论的风险度量方法,本着尽可能分散投资风险的原则,从信息熵的定义出发,构建了基于随机不确定熵、模糊不确定熵、模糊随机不确定熵的三种投资组合模型,提出的模型满足各种不同投资环境中对应的模型,使对证券投资组合模型的应用和研究更客观合理.Markowitz gives the definition of measuring the risk of security by using the variance of the return rate,but the definition has the following three limitations：the computation is too complex,the risk is higher（the part which is higher than the expected return is also taken as the risk of the security）and the distribution of the returns is just in a normal distribution.In order to solve the limitation of this risk measurement,this paper studies the risk measurement by using information entropy.According to the principle of diversifying investment risk as much as possible,three different models are constructed：stochastic uncertainty entropy model,fuzzy uncertainty entropy model and fuzzy stochastic uncertainty entropy model.Those proposed models can meet the needs of different constraints in various investment environments,and make the application and research of portfolio model more objective and reasonable.

关 键 词：投资组合 风险度量 随机不确定熵 模糊不确定熵 

分 类 号：F224.33[经济管理—国民经济]