关键词: 投资组合, 均值-熵模型, 有效边界, 收益权重, 一致性

Abstract: In the traditional mean-variance model, researchers tend to assume that return rate obeys normal distri-bution which is always not satisfied with most questions, and estimate ex pectation value with its average, simultaneously considering the limitations of variance. So, the mean-entropy model based on return weight has been proposed. In this paper, we choose five A-stocks in application. Then, we study the rationality of θ_t present the consistency of the entropy method and variance method, and do some research on comparison between no risk-free securities and risk-free securities. The results show that computing the expectation of return rate based on θ_t the efficient frontier of mean-variance model is still a good parabola, the consistency of entropy method and variance method is proved, and entropy method can better disperse the risk when return rate is equal.

Key words: portfolio selection, mean-entropy model, efficient frontier, return weight, consistency