机构地区: 上海交通大学理学院数学系
出 处: 《宁夏大学学报(自然科学版)》 2004年第2期134-137,共4页
摘 要: 用信息论中熵的概念度量投资组合对风险的分散能力 ,提出了最大熵和最大广义熵投资组合的概念 ,并与Markowitz的均值 方差理论进行了比较 ,同时做了数值模拟 。 Risk management is one of the important aspects in investment.. The concept of entropy from information theory is used to measure the diversity of the portfolio and the portfolios with maximum entropy or generalized entropy are introduced. The comparison of portfolio with maximum entropy and Markowitz’s mean-variance methods based on the theoretic and numerical analysis shows the applicability of the entropy portfolio.