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中文摘要：
针对Markowitz的均值-方差模型的缺陷,用信息熵代替方差度量风险,用反映资金的增值速度的增值熵代替均值,提出了一种新型投资组合模型——最小信息熵-最大增值熵模型,并通过多目标决策方法中的模糊集理论对模型进行求解。同时,给出了通过引入权重系数,将原模型转化为了具有单一目标函数的求解方法。最后通过上海证券交易所的实际数据验证了模型的可行性和有效性。
英文摘要：
In order to overcome the defects of Markowitz＇s mean-variance model,a new portfolio model has been developed.The model is based on the minimum comentropy and the maximum value-added entropy model by using comentropy to measure risk instead of variance,and making value-added entropy indicate the value-added rate of funds instead of the mean.The model can be calculated by using fuzzy set theory in a multi-objective decision-making method.A method of solving the model is also given in which the original model is translated into a single objective function through introducing a weight coefficient.The model is shown to be feasible and valid by using data from the Shanghai Stock Exchange.
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