基准收益与认知风险熵式度量.pdfVIP

第20卷 第4期 青岛大学学报 (自然科学版 ) V0l_2O No．4 2 0 0 7年1 2月 JOURNAL OF QINGDAO UNIVERSITY(Natural Science Edition) Dec．2 0 0 7 文章编号：1006—1037(2007)04—0092—04 Benchmark Return and Perceived Risk Based on Entropy JIANG Wei，YANGChun—peng，PIAO Ming—gen，LI Li—li (School of Economics，Qingdao University，Qingdao 266071，China) Abstract：Benchmark return is an important concept in the investment decision process． Based on the benchmark return，a perceive risk measuring model is presented．The rela— tion between benchmark return and perceived risk is studied．The results show that the correlation between the benchmark return and perceived risk is positive． Key words：benchmark return；Shannoffs entropy；perceived risk；overconfidence CLC number：F830．91 Docum ent code：A Benchmark return is an important factor in the investment process．In standard financial theory，risk — free rate is the benchmark return of capital asset pricing model，and it couldnt affect the measurement of security investment risk(for example，variance，beta coefficient)．But in fact，risk—free rate is not the only benchmark return．Different investor has different benchmark return，and benchmark return could affect the investment risk．In financial markets，equity premium puzzle could not be explained by CAPM．So the research of benchmark return not only has academic significance，but also has empirical meaning． The measurement of security investment risk is one of the key contents of the modern financial theo— ry，and at the same time it is the foundation of numerous financial institutions to manage their financial as— sets．Perceived risk is an essential conception making behavior finance different from traditional finance in measurement of security