信息熵风险函数在股票投资中的实证研究

熵是不确定性的定量化度量，可作为证券投资的一种风险度量方法，从而体现风险的根本来源是状态的不确定性。由于投资的连续性，几何平均收益率较算术平均收益率更能够反映投资的实际收益。从采用熵衡量风险和几何平均收益率反映收益的角度出发，对证券投资中衡量风险的信息熵一标准差模型进行了简要介绍，在此基础上建立了信息熵风险函数，此函数能够用于进行证券投资中的先期筛选，并对上证A股中的30只股票进行了实证研究，得出有效集。

Empirical study of information entropy risk function in portfolio investment

Entropy is a quantity measurement of uncertainty and a risk measurement method. It reflects that uncertainty is the fundamental source of risk. Geometric mean yield is better than arithmetic mean yield in measuring real income of successive investment. By using entropy to measure risk and geo- metric mean yield to measure income, Information Entropy-Standard Deviation model is introduced briefly and an information entropy risk function is established. To verify the effectiveness of the function in securities selecting, the empirical study is done in thirty stocks of Shanghai Stock Exchange A Share and the optimal portfolio of a number of stocks selected by this function is obtained.