摘要
投资者在选择投资策略时一般会权衡收益与风险的利弊,综合各方面考虑,得出最合理的投资方案。本文研究了一种层次分析-熵权法模型用于投资组合构造。通过构建所选取部分股的层次分析模型,对数据进行定性定量赋权,得到投资比例。在此基础上结合熵权法,进一步权衡收益和风险,更加客观对投资权重进行修正。并用夏普比率对模型进行评估。
When investors choose investment strategies,they usually weigh the advantages and disadvantages of income and risk,and get the most reasonable investment plan by considering all aspects.In this paper,an analytic hierarchy process&entropy weight model is studied for portfolio construction.Through the construction of the analytic hierarchy process model of selected stocks,qualita⁃tive and quantitative weights are given to the data,and the investment proportion is obtained.On this basis,combined with entropy weight method,further weigh the income and risk,more objective to modify the investment weight.The Sharpe ratio was used to evalu⁃ate the model.
作者
霍潇潇
陈如赞
Huo Xiaoxiao;Chen Ruzan(Department of Engineering,South China Agricultural University,Guangzhou 516000)
出处
《现代计算机》
2021年第28期50-54,共5页
Modern Computer
关键词
层次分析法
熵权法
投资组合
夏普比率
analytic hierarchy process
entropy weight method
portfolio
sharpe ratio
