证券投资组合理论的一种新模型及其应用  

A New Portfolio Model and Application

作　　者：李华[1] 李兴斯[2] 

机构地区：[1]大连理工大学应用数学系,辽宁大连116023 [2]大连理工大学工业装备与结构分析国家重点实验室,辽宁大连116023

出　　处：《运筹与管理》2003年第6期83-86,共4页Operations Research and Management Science

基　　金：国家重点基础研究发展规划项目(G1999032805)

摘　　要：马科维茨(Markowitz)以证券收益率的方差作为投资风险的测度建立了组合证券投资模型,本文基于熵的概念,在研究马科维茨(Markowitz)证券投资组合模型的基础上,分析了该模型用方差度量风险的不足,进而提出一种新的证券投资组合优化模型,并以实例作了说明。Markowitz introduces the variance of marketable security's revenue rate as the investment risk measure; and constructs portfolio investment model to perform the selection procedure of an optimal portfolio. The limitations of measuring risk with variance are analyzed on the base of Markowitz investment portfolio model. In this paper, the measurement method of risk is put forward with entropy. A new optimization model of portfolio is proposed with an application to a practical example.

关 键 词：证券投资组合 熵 方差 风险 证券收益率 

分 类 号：F830.59[经济管理—金融学]