Empirical Study of Mean-entropy Model with the Transaction Costs in Portfolio Selection

Hua Li; Junwei Xu; Qiubai Sun

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Empirical Study of Mean-entropy Model with the Transaction Costs in Portfolio Selection

机译：投资组合选择中带有交易成本的均值熵模型的实证研究

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摘要

Entropy can be as a measurement of the uncertainty and mean-entropy optimization model can help investors to make decisions in the imperfect securities market. In this paper, the transaction costs will be added to the mean-entropy model, which makes the model more rational and objective. The empirical study is done in twenty stocks of Shanghai Stock Exchange A Share to verify the model's feasibility and effectiveness.

机译：熵可以作为不确定性的度量，均值熵优化模型可以帮助投资者在不完善的证券市场上做出决策。本文将交易成本添加到均值熵模型中，使模型更加合理和客观。对上海证券交易所A股20只股票进行了实证研究，验证了该模型的可行性和有效性。

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来源
《Journal of systems science & information》 |2009年第4期|327-331|共5页
作者
Hua Li; Junwei Xu; Qiubai Sun;
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作者单位

School of Economy and Law, University of Science and Technology Liaoning, Anshan 114051, Liaoning, China;

School of Science University of Science and Technology Liaoning, Anshan 114051, Liaoning, China;

School of Business Administration, University of Science and Technology Liaoning, Anshan 114051, Liaoning, China;

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原文格式 PDF
正文语种 eng
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关键词
mean-entropy; portfolio; transaction costs;

机译：平均熵投资组合交易成本;

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专利

1. Empirical Study of Mean-entropy Model with the Transaction Costs in Portfolio Selection [J] . Hua Li, Junwei Xu, Qiubai Sun 系统科学与信息学报：英文版 . 2009,第004期

机译：投资组合选择中带有交易成本的均值熵模型的实证研究
2. Sensitivity Analysis of the Fuzzy Mean-Entropy Portfolio Model with Transaction Costs Based on Credibility Theory [J] . Xue Deng, Junfeng Zhao, Zhongfei Li International Journal of Fuzzy Systems . 2018,第1期

机译：基于可信度的交易费用模糊均值-熵投资组合模型的敏感性分析
3. Empirical Research of Mean-Cross-Entropy Model with the Transaction Costs in Portfolio Selection [J] . Hua Li, Junwei Xu, Qiubai Sun Journal of systems science & information . 2010,第1期

机译：投资组合选择中带有交易成本的均值交叉熵模型的实证研究
4. Empirical study of entropy optimization models with transaction costs in portfolio selection [C] . Hua Li, Junwei Xu, Qiubai Sun 2011 International Conference on Computer Science and Service System . 2011

机译：投资组合选择中带有交易成本的熵优化模型的实证研究
5. Robust Value-at-Risk (VaR) Portfolio Selection Problem Under the Joint Ellipsoidal Uncertainty Set In the Presence of Transactions Costs. [D] . Park, Hyekyung. 2017

机译：在存在交易成本的联合椭圆不确定性集合下的鲁棒风险价值（VaR）资产组合选择问题。
6. Empiric Antibiotic Treatment of Erythema Migrans-Like Skin Lesions As a Function of Geography: A Clinical and Cost Effectiveness Modeling Study [O] . Paul M. Lantos, R. Jory Brinkerhoff, Gary P. Wormser, -1

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7. Uncertainty theory based multiple objective mean-entropy-skewness stock portfolio selection model with transaction costs [O] . Rupak Bhattacharyya, Amitava Chatterjee, Samarjit Kar 2013

机译：具有交易成本的基于不确定性理论的多目标均值-偏度股票投资组合选择模型

Empirical Study of Mean-entropy Model with the Transaction Costs in Portfolio Selection

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