本文分析了风险的本质后指出,风险是某一特定行为主体对某一金融投资中损失的不确定性和收益的不确定性的认识。在众多风险度量的方法中,熵函数法有着其独特的度量风险的优势,因此,在本文中重点讨论了熵函数作为风险度量的合理性。同时提出一个新的风险度量模型,剖析其主要的数学特性,阐明该模型可以针对不同行为主体能有效地度量金融风险,并且计算量小,易于操作。
By analyzing the nature of the risk, the paper points out the risk is an uncertainty of the capital gain and loss which agents recognize in finance investment. In numerous solutions of risk measures, information entropy itself has particular advantages, so the purpose of this paper is to emphasize the rationality of information entropy applied in risk measure. At the same time, a novel risk measure model based on information entropy is proposed, and its main mathematical properties are researched. For different investment behavior body, we find this model can effectively measure risk with less computation and easier operation.