| 改进的期望效用-熵模型在沪市股票选择中的应用研究 |
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| 引用本文： | 王中魁,杨继平,张力健. 改进的期望效用-熵模型在沪市股票选择中的应用研究[J]. 数学的实践与认识, 2009, 39(8) |
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| 作者姓名： | 王中魁 杨继平 张力健 |
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| 作者单位： | 1. 郑州轻工业学院,经济与管理学院,河南,郑州,450002
2. 北京航空航天大学,经济管理学院,北京,100191 |
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| 摘 要： | 用Arrow-Pratt风险厌恶度来度量期望效用-熵平衡系数以改进风险型决策的期望效用-熵模型;根据改进的期望效用-熵模型以及期望效用准则,分别从上证50指数样本股中选取7只股票构造投资组合,进行比较.研究结果表明,用改进的期望效用-熵模型得到的股票组合效果更优.
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| 关 键 词： | 改进的期望效用-熵模型 期望效用准则 财富水平 投资组合 |
Application of the Modified Expected Utility-Entropy Model to Stocks Selecting in Shanghai Stock Market |
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| WANG Zhong-kui,YANG Ji-ping,ZHANG Li-jian. Application of the Modified Expected Utility-Entropy Model to Stocks Selecting in Shanghai Stock Market[J]. Mathematics in Practice and Theory, 2009, 39(8) |
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| Authors: | WANG Zhong-kui YANG Ji-ping ZHANG Li-jian |
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| Abstract: | Based on Arrow-Pratt risk aversion,we propose a measure of expected utility-entropy tradeoff coefficient to modify the expected utility-entropy decision model.Using this modified model and the expected utility,we select 7 stocks from Shanghai 50 Index respectively to compose portfolios.The conclusion shows that the modified expected utility-entropy decision model is a better decision criteriou to select stocks than expected utility criterion to some extent. |
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| Keywords: | modified expected utility-entropy decision model the expected utility criterion wealth level portfolio |
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