@inproceedings{3149ce91a8a74724945d0599462188f6,
title = "Normalized expected utility-entropy investment decision model and its application in stock selection",
abstract = "We first introduce the normalized Expected Utility-Entropy (EU-E) decision model, which is a weighted linear average of normalized expected utility and information entropy. Based on the normalized EU-E decision model, we establish a normalized EU-E investment decision model. Then we apply the model to stock selection when we invest in the 40 sample stocks of Shenzhen component index. It has concluded that portfolios of 4 stocks selected by normalized EU-E model with larger tradeoff coefficient λ are more efficient than that of those selected with smaller tradeoff coefficient λ with relative general utility function. Thus, this has demonstrated that we should not only take the expected utility of a risky action itself into account but also the information entropy to measure the uncertainty of the state of nature, which further verified the usefulness of the information entropy.",
keywords = "EU-E decision model, Information entropy, Investment decision, Stock selection",
author = "Jiping Yang and Lijian Zhang and Xiaoxuan Chen",
year = "2010",
doi = "10.1109/PIC.2010.5687461",
language = "英语",
isbn = "9781424467860",
series = "Proceedings of the 2010 IEEE International Conference on Progress in Informatics and Computing, PIC 2010",
pages = "220--224",
booktitle = "Proceedings of the 2010 IEEE International Conference on Progress in Informatics and Computing, PIC 2010",
note = "2010 1st IEEE International Conference on Progress in Informatics and Computing, PIC 2010 ; Conference date: 10-12-2010 Through 12-12-2010",
}