摘要
按照Buffet提出的5个准则,对我国上海证券交易所的20只股票2007—2009年的数据进行加权移动平均,然后利用熵值法,对其业绩表现进行了排序,并在长达19个月的投资期限里进行跟踪.实证研究表明,按熵值法排序在前5名的投资组合比排在前10名的投资组合有更高的收益率,说明了这种投资决策方法的有效性,并且比区间数PROMETHEE方法更简单、更高效.
The weighted moving average-entropy method to evaluate decision making process of value in- vestment was introduced. Five performance criteria according to Buffet proposed were used for measuring the growth potential of firms and were represented by weighted moving average numbers based on the real financial data from 2007 to 2009. This method was applied to rank the 20 selected stocks in Shanghai Stocks Exchange. The portfolio with the top 5 stocks was proven to have higher return rate than that the 10 selected stocks within the 19-month investment period. The empirical study showed the effectiveness of the weighted moving average-entropy method in the decision making process of value investment and it was more simple and efficient than PROMETHEE method.
出处
《郑州轻工业学院学报（自然科学版）》
CAS
2012年第4期102-104,108,共4页
Journal of Zhengzhou University of Light Industry:Natural Science
基金
河南省基础与前沿技术研究计划项目(112300410064)
河南省中小企业孵化上市量化策略研究横向项目(112300410156)
河南省教育厅自然科学基金项目(2011A110022)
关键词
价值投资
加权移动平均
熵值法
多目标决策方法
收益率
value investment
weighted moving average
entropy method
multi-object decision making
re- turn rate
