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| 信息熵度量风险的探究 | |
| 引用本文： | 李英华,李兴斯,姜昱汐. 信息熵度量风险的探究[J]. 运筹与管理, 2007, 16(5): 111-116 |
| 作者姓名： | 李英华 李兴斯 姜昱汐 |
| 作者单位： | 1. 大连理工大学,应用数学系,辽宁,大连,116023 2. 大连理工大学,工业装备结构分析国家重点实验室,辽宁,大连,116023 3. 大连交通大学,管理学院,辽宁,大连,116028 |
| 基金项目： | 国家自然科学基金;国家自然科学基金 |
| 摘 要： | 本文分析了风险的本质后指出,风险是某一特定行为主体对某一金融投资中损失的不确定性和收益的不确定性的认识。在众多风险度量的方法中,熵函数法有着其独特的度量风险的优势,因此,在本文中重点讨论了熵函数作为风险度量的合理性。同时提出一个新的风险度量模型,剖析其主要的数学特性,阐明该模型可以针对不同行为主体能有效地度量金融风险,并且计算量小,易于操作。 |
| 关 键 词： | 运筹学 风险度量 信息熵 不确定性 |
| 文章编号： | 1007-3221（2007）05-0111-06 |
| 修稿时间： | 2006-12-25 |
Study on Information Entropy as a Solution to Measure Risk in Financial Market |
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| Li Ying-hua,Li Xing-si,Jiang Yu-xi. Study on Information Entropy as a Solution to Measure Risk in Financial Market[J]. Operations Research and Management Science, 2007, 16(5): 111-116 | |
| Authors: | Li Ying-hua Li Xing-si Jiang Yu-xi |
| Affiliation: | 1. Department of Applied Mathematics, Dalian University of Technology, Dalian 116023, China; 2. State Key Lab. of Structural Analysis for Industrial Equipment, Dalian University of Technology, Dalian, 116023, China; 3. School of Management, Dalian Jiaotong University , Dalian, 116028, China |
| Abstract: | By analyzing the nature of the risk,the paper points out the risk is an uncertainty of the capital gain and loss which agents recognize in finance investment.In numerous solutions of risk measures,information entropy itself has particular advantages,so the purpose of this paper is to emphasize the rationality of information entropy applied in risk measure.At the same time,a novel risk measure model based on information entropy is proposed,and its main mathematical properties are researched.For different investment behavior body,we find this model can effectively measure risk with less computation and easier operation. |
| Keywords: | operations research risk measure information entropy uncertainty |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ | |