【摘要】 用方差和熵共同度量投资风险,并且考虑交易费用的影响,提出一种基于交易费用的均值-方差-熵的投资组合模型,并进一步讨论了熵在投资组合模型中所起的作用.通过对相关案例的求解与分析,验证了该模型的可行性及有效性.更多还原

【Abstract】 Using both variance and entropy to measure the investment risk,this paper establishes a mean-variance-entropy portfolio model which takes the influence of transaction cost into account.The role of entropy in the portfolio model is discussed and a relevant case study is conducted to show the practicability and effectiveness of the model.更多还原