均值-半方差-熵投资组合优化模型

Mean-Semi-Variance-Entropy Optimal Portfolio

比较以方差为风险构建的均值-方差模型、以半方差为风险构建的均值-半方差模型、以绝对离差为风险构建的均值-离差模型可知,在同等收益水平下以半方差为风险最符合投资者心理的结论.引入熵构建均值-半方差-熵模型.实例分析结果表明,新模型能更全面地考虑股票市场中各种可能的不确定因素,在收益达到一定水平的基础上,为投资者提供更安全的投资方案.

Firstly,we compare the mean-variance model using variance to measure risk,the mean-absolutedeviation model using the absolute deviation to measure the risk,and the mean-semi-variance model using the semi-variance to measure the risk.The comparison shows that with the same return,the semi variance as the risk measurement is most consistent with the psychology of investors.Then we employ the entropy to construct the mean-semi-variance-entropy model.The analysis of a numerical example shows that our proposed model is more comprehensive for it is concerned with all kinds of uncertain factors in the stock market,and can provide more secure investment plans for the investors.