基于熵的单一指数投资组合模型的应用研究

Research on the Application of Single Exponential Portfolio Model Based on Entropy

在分析马科维茨的均值方差模型及威廉·夏普的单一指数模型的基础上,将熵的概念引入到证券投资的风险度量中,提出一种新的投资组合模型,并进行了实证研究。

Based on analyzing Markowitz＇s mean-variance model and William Sharp＇s single exponential model, this paper introduces entropy ＇principle into the measurement of portfolio risk, puts forward a new model of portfolio, and makes the empirical research.