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改进的期望效用-熵模型在沪市股票选择中的应用研究
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)
作者姓名:王中魁  杨继平  张力健
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
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.

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
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)
Authors:WANG Zhong-kui  YANG Ji-ping  ZHANG Li-jian
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.
Keywords:modified expected utility-entropy decision model  the expected utility criterion  wealth level  portfolio
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