本文關(guān)鍵詞： 反熵 廣義熵 風(fēng)險(xiǎn)厭惡程度 證券投資組合　出處：《遼寧科技大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：針對(duì)日益復(fù)雜的國(guó)際及國(guó)內(nèi)政治經(jīng)濟(jì)形勢(shì)，金融市場(chǎng)面臨著巨大機(jī)遇與挑戰(zhàn)。證券投資者如何在此環(huán)境背景下，將所受風(fēng)險(xiǎn)降到最低，從而獲取預(yù)期收益，已經(jīng)成為投資者亟需解決的問題之一，理智投資者通常選擇組合方式進(jìn)行投資，通過分散化選取股票以達(dá)到降低風(fēng)險(xiǎn)的目的，因此對(duì)于證券投資組合中風(fēng)險(xiǎn)的研究已逐漸成為學(xué)術(shù)界所面臨的重大課題之一。 傳統(tǒng)證券投資組合理論以美國(guó)經(jīng)濟(jì)學(xué)家Harry Markowitz為依據(jù)，通過不斷對(duì)其補(bǔ)充、完善使該模型更加符合投資者的決策需求。圍繞著投資風(fēng)險(xiǎn)的度量問題，，熵優(yōu)化理論已經(jīng)并逐步被學(xué)者關(guān)注，該理論能夠較好地度量投資風(fēng)險(xiǎn)，從而彌補(bǔ)傳統(tǒng)投資組合模型的不足，本文正是在現(xiàn)有熵優(yōu)化理論基礎(chǔ)上，通過對(duì)反熵優(yōu)化問題及廣義熵優(yōu)化問題進(jìn)行探討，首先將熵優(yōu)化理論進(jìn)行擴(kuò)展，并依此構(gòu)建了證券投資組合中的反熵優(yōu)化模型及廣義熵優(yōu)化模型，同時(shí)將投資者對(duì)風(fēng)險(xiǎn)的厭惡程度定量化，使得熵優(yōu)化理論更貼近投資者的投資偏好，更加滿足投資者的投資意愿。全文共分六章節(jié)進(jìn)行闡述，具體安排如下： 第一章首先介紹了本文的選題背景與選題意義，然后將證券投資組合的理論沿革與該領(lǐng)域較為認(rèn)可的模型一一列舉，最后闡述了本文的創(chuàng)新點(diǎn)； 第二章主要對(duì)熵優(yōu)化理論進(jìn)行較為全面地分析，首先談及熵優(yōu)化理論及演變過程，然后論及到幾種較重要的熵定律，最后指出熵優(yōu)化理論在證券投組合領(lǐng)域應(yīng)用的適用性及可行性； 第三章從物理學(xué)及數(shù)學(xué)中的反問題入手，定義了熵優(yōu)化理論中的反熵問題，通過反熵模型的構(gòu)建，指出反熵優(yōu)化模型可以有序化度量風(fēng)險(xiǎn)，并且可以為投資者提供必要的證券行業(yè)選擇需求； 第四章在第三章選取行業(yè)的前提下，通過對(duì)Csisizer定向散度地分析，提出了考慮投資者風(fēng)險(xiǎn)厭惡程度的廣義熵優(yōu)化模型，并且通過實(shí)證分析，對(duì)投資者的個(gè)股投資提供了更有效地選擇依據(jù)； 第五章對(duì)反熵優(yōu)化模型及廣義熵優(yōu)化模型進(jìn)行對(duì)比分析，通過對(duì)二者適用范圍的不同解釋，為投資者進(jìn)行下一步投資提供客觀參考； 第六章對(duì)全文進(jìn)行總結(jié)，通過對(duì)本文所構(gòu)建模型中出現(xiàn)的不足提出下一步研究工作的展望，從而完成本篇碩士論文的寫作。
[Abstract]:In view of the increasingly complex international and domestic political and economic situation, the financial market is facing great opportunities and challenges. In this background how environmental securities investors, the risk to a minimum, in order to obtain the expected return, investors have become one of the urgent problems, rational investors usually choose combination investment, through decentralization of shares to select to reduce the risk, so the risk of the portfolio investment has gradually become one of the major issues faced by the academic circles.
The traditional portfolio theory by American economist Harry Markowitz as the basis, through continuous complement, perfect the model more in line with the decisions of investors demand. Measure around the investment risk, entropy optimization theory has been gradually concerned by academics, this theory to measure the investment risk effectively, so as to compensate for the lack of traditional portfolio the model, this paper is based on the theory of entropy in the existing optimization, through the anti entropy optimization problem and generalized entropy optimization problems are discussed, the entropy optimization theory is extended, and then constructs the investment portfolio in the anti entropy optimization model and generalized entropy optimization model, the quantitative risk aversion of investors the entropy, closer to the investors' preference optimization theory, and more to meet investors' willingness to invest. The thesis is divided into six chapters, the specific. Row as follows:
The first chapter introduces the background and significance of the topic, then lists the theoretical evolution of the portfolio and the more recognized models in the field, and finally expounds the innovation of this paper.
The second chapter mainly analyzes the theory of entropy optimization. First, we talk about entropy optimization theory and evolution process. Then we discuss several important entropy laws. Finally, we point out the applicability and feasibility of entropy optimization theory in the field of portfolio selection.
The third chapter starts from the inverse problems in physics and mathematics, defines the inverse entropy problem in entropy optimization theory, and points out that the counter entropy optimization model can ordinal risk measurement and provide necessary investors' choice for securities industry through the construction of anti entropy model.
In the fourth chapter, in the third chapter, based on the premise of choosing the industry, by analyzing the directional dispersion of Csisizer, we propose a generalized entropy optimization model considering the degree of risk aversion of investors, and provide a more effective basis for investors' individual stock investment through empirical analysis.
The fifth chapter analyzes the anti entropy optimization model and the generalized entropy optimization model, and provides an objective reference for investors to further invest by explaining the scope of application of the two.
The sixth chapter summarizes the full text, and puts forward the prospect of next research work through the shortcomings of the model built in this paper, so as to finish writing this master's thesis.

【學(xué)位授予單位】：遼寧科技大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F830.59;F224

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