Portfolio Optimization Model with Risk Measure of Mean-Variance Hybrid-Entropy

摘要：

　　Using the concept of credibility measure, this paper proposes a mean-variance hybrid-entropy model which measures the risk of local deviation from the mean as well as the risk of overall deviation from the uniform distribution for portfolio selection.The empirical results show that the mean-variance hybrid-entropy model performs more steady and efficient than those models which only hires variance or hybrid entropy as the risk index.Additionally, the empirical analyses also indicates that the traditionally mean-variance model is less efficient when compared with the 1/N portfolio strategy.

关键词： Hybrid entropy Portfolio selection Credibility measure Multi-objective GA

作者: Rongxi Zhou Di Wang

作者单位: School of Economics and Management, Beijing University of Chemical Technology, Beijing, 100029

会议类型: 国内会议

会议名称: 第十三届中国不确定系统年会暨第九届中国智能计算大会

会议地点: 长春

会议语种:英文

页码: 147-153

在线出版日期: 2015-07-25（万方平台首次上网日期，不代表论文的发表时间）