【摘要】 在研究马科维茨(Markowitz)证券投资组合模型的基础上,分析了该模型用方差度量风险的缺陷,进而提出用叉熵作为风险的度量方法,建立了均值-叉熵的投资组合优化模型.该模型计算简便,更易被一般投资人所使用.更多还原

【Abstract】 The limitations of measuring risk with variance are analyzed on the base of Markowitz portfolio model. So the measurement method of risk is put forward with cross-entropy, and the mean cross entropy optimization model of portfolio is proposed. The new model avoids the complex calculation and can be easily used by general investors.更多还原