熵值法在价值投资决策中的应用

曲双红; 李华

doi:10.3969/j.issn.1004-1478.2012.04.026

July 2012

Article Contents

QU Shuang-hong and LI Hua. Application of entropy method for decision making of value investment[J]. Journal of Light Industry, 2012, 27(4): 102-104,108. doi: 10.3969/j.issn.1004-1478.2012.04.026

Citation: QU Shuang-hong and LI Hua. Application of entropy method for decision making of value investment[J]. Journal of Light Industry, 2012, 27(4): 102-104,108. doi: 10.3969/j.issn.1004-1478.2012.04.026 shu

Application of entropy method for decision making of value investment

QU Shuang-hong ¹ ,
LI Hua ²

Dept. of Math. and Infor. Sci., Zhengzhou Univ. of Light Ind., Zhengzhou 450002, China;
Dept. of Math., Zhengzhou Univ., Zhengzhou 450001, China

Received Date: 2012-04-23
Available Online: 2012-07-15

Abstract

The weighted moving average entropy method to evaluate decision making process of value investment was in-troduced.Five performance criteria according to Buffet proposed were used for measuring the growth potential of firms and were represented by weighted moving average numbers based on the real financial data from 2007 to 2009.This method was applied to rank the 20 selected stocks in Shanghai Stocks Exchange.The portfolio with the top 5 stocks was proven to have higher return rate than that the 10 selected stocks within the 19 month investment period.The empirical study showed the effectiveness of the weighted moving average entropy method in the decision making process of value investment and it was more simple and efficient than PROMETHEE method.
- value investment,
- weighted moving average,
- entropy method,
- multi-object decision making,
- return rate
References
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  Albadvi A,Chaharsooghi S K,Esfahanipour A.Decision making in stock trading:An application of PROMETHEE[J].European J of Operational Research,2007,177:673.
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  Qu Shuanghong,Li Hua,Guo Xiaoli.Application of interval PROMETHEE method for decision making in investing[C]//The 10th Int Symposium on Operations Research and It's Applications,Dunhuang:ORSC,2011:314.
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  曲双红,李华,李刚.基于主成分分析的几种常用改进方法[J].统计与决策,2011(3):150.
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沈阳化工大学材料科学与工程学院沈阳 110142

Application of entropy method for decision making of value investment

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References

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通讯作者: 陈斌, bchen63@163.com