中文摘要：

本文将熵理论引入到股票投资领域,提出了适用于中国股票市场的熵风险度量方法.该方法将股票收益区间均分成若干个子区间,利用收益率落在各收益子区间中的频数度量熵风险值,并引入调节因子将初始熵风险值标准化.实证算例选取上海证券交易所股票数据对该度量方法进行检验.检验结果表明,初始熵风险值随收益子区间数目指数的增大而递增,标准化后的熵风险值在收益子区间数目指数取到5后趋于稳定,说明熵风险度量方法能有效评估股票风险.

英文摘要：

In this paper,the entropy theory is introduced to the stock investment field,based on which a risk measure method is proposed.In the method,the investment bonus interval is partitioned into a number of isometric subintervals and the entropy-based risk value is determined as the frequency of stock bonus that falls in each of subintervals.Further,a kind of tuning factor is introduced to standardize the initial entropy-based risk value.The validity and effectiveness of the proposed method is testified by a group of empirical stock data of Shanghai Exchange Institution.It shows that the initial entropy-based risk value increases with the number of the subintervals.It also shows that the entropy-based risk value is stabilized at a constant while the number of subinterval reaches to 320.The empirical result demonstrates that the proposed entropy-based risk measure method is practical to assess the investment risk.