【摘要】 用Arrow-Pratt风险厌恶度来度量期望效用-熵平衡系数以改进风险型决策的期望效用-熵模型;根据改进的期望效用-熵模型以及期望效用准则,分别从上证50指数样本股中选取7只股票构造投资组合,进行比较.研究结果表明,用改进的期望效用-熵模型得到的股票组合效果更优.更多还原

【Abstract】 Based on Arrow-Pratt risk aversion,we propose a measure of expected utility-entropy tradeoff coefficient to modify the expected utility-entropy decision model.Using this modified model and the expected utility,we select 7 stocks from Shanghai 50 Index respectively to compose portfolios.The conclusion shows that the modified expected utility-entropy decision model is a better decision criteriou to select stocks than expected utility criterion to some extent.更多还原