THE STOCK SELECTION BASED ON THE NORMALIZED EXPECTED UTILITY- ENTROPY MEASURE OF RİSK AND DECISION MODEL
Öz
Making decisions
under risky actions has an increasing importance in many scopes such as
finance, economics and actuarial sciences. Different type of risk measures,
which are developed to obtain information about risky decision problems, are
used for decision analyze models such as decision of risky actions. In this
study, we use the normalized EU-E and entropy measure of risk and the
normalized EU-E and entropy decision model which was developed by Yang and Qui
while making risky decisions. In the model, the measure of risky action is the
weighted linear average of expected utility and entropy using a risk tradeoff
factor. In this study we use Shannon entropy as an entropy measure and
exponential utility function is used for the utility function. In the
application part, stock selection is made by using the normalized EU-E and
entropy decision model. We obtain the results for the different tradeoff factor
values.
Anahtar Kelimeler
Entropy Expected utility Optimal portfolio selection Decision model
Kaynakça
- DICKSON, David C. M.; (2005), Insurance Risk and Ruin, Cambridge University Press, United Kingdom.
- DIONISIO, Andreia, REIS, Heitor A. ve COELHO, Luis; (2008), “Utility Function Estimation: The Entropy Approach”, Physica A: Statistical Mechanics and its Applications, 387 (15), ss. 3862–3867.
- DONG, Xin, LU, Hao, XIA, Yuanpu ve XIONG, Ziming; (2016), “Decision-Making Model Under Risk Assessment Based on Entropy”, Entropy, 18, ss. 1-15.
- KAHNEMAN, Daniel ve TVERSKY, Amos; (1979), “Prospect Theory: An Analysis of Decision Under Risk”, Econometrica, 47(2), ss. 263–291.
- LUCE, Duncan, R., NG, C. T., MARLEY, A.A.J. ve ACZEL, Janos; (2008), “Utility of Gambling I: Entropy Modified Linear Weighted Utility”. Economic, 36, ss. 1–33.
- SHANNON, Claude E.; (1948), “A mathematical theory of communication”. Bell System Technical Journal, 27, ss. 379–423.
- YANG, Jiping, FENG, Yijun ve QIU, Wanhua; (2017), “Stock Selection for Portfolios Using Expected Utility-Entropy Decision Model”, Entropy, 19(10), ss. 2-11.
- YANG, Jiping and QIU, Wanhua; (2005), “A Measure of Risk and a Decision-Making Model Based on Expected Utility and Entropy”, European Journal of Operational Research, 164(3), ss. 792–799.
- YANG, Jiping and QIU, Wanhua; (2014), “Normalized Expected Utility-Entropy Measure of Risk”, Entropy, 16, ss. 3590–3604
Öz
Risk altında
karar verme, finans, ekonomi, aktüerya gibi alanlarda gittikçe önemi artan bir
konudur. Bu sebeple riskli karar problemlerine ilişkin bilgi elde etmek için geliştirilen
farklı risk ölçümleri, risk içeren eylemlerin seçimi için ve karar analiz
modellerinde kullanılmaktadır. Bu çalışmada, riskli kararlar alırken Yang ve Qiu tarafından önerilen, beklenen
fayda ve entropiyi birleştiren normalleştirilmiş beklenen fayda-entropi EU-E
risk ölçümü ve normalleştirilmiş EU-E karar modeli ele alınmış ve özellikleri
ortaya konulmuştur. Normalleştirilmiş EU-E modelinde, riskli eylemin ölçüsü,
beklenen fayda ve entropinin bir risk faktörü ile
ağırlıklı doğrusal ortalamasıdır. Entropi için Shannon entropisi ve fayda
fonksiyonu için üstel fayda fonksiyonu olarak dikkate alınmıştır. Çalışmanın
uygulama bölümünde normalleştirilmiş EU-E karar modeline göre hisse senedi
seçimi yapılmıştır. Riskin değerlendirilmesinde, karar vericinin göreceli
belirsizliği ve beklenen faydayı ayırt etmesine yarayan katsayısının farklı
değerleri için birçok seçim yapılmıştır.
Anahtar Kelimeler
Entropi Beklenen fayda fonksiyonu Optimal portföy seçimi Karar modeli
Kaynakça
- DICKSON, David C. M.; (2005), Insurance Risk and Ruin, Cambridge University Press, United Kingdom.
- DIONISIO, Andreia, REIS, Heitor A. ve COELHO, Luis; (2008), “Utility Function Estimation: The Entropy Approach”, Physica A: Statistical Mechanics and its Applications, 387 (15), ss. 3862–3867.
- DONG, Xin, LU, Hao, XIA, Yuanpu ve XIONG, Ziming; (2016), “Decision-Making Model Under Risk Assessment Based on Entropy”, Entropy, 18, ss. 1-15.
- KAHNEMAN, Daniel ve TVERSKY, Amos; (1979), “Prospect Theory: An Analysis of Decision Under Risk”, Econometrica, 47(2), ss. 263–291.
- LUCE, Duncan, R., NG, C. T., MARLEY, A.A.J. ve ACZEL, Janos; (2008), “Utility of Gambling I: Entropy Modified Linear Weighted Utility”. Economic, 36, ss. 1–33.
- SHANNON, Claude E.; (1948), “A mathematical theory of communication”. Bell System Technical Journal, 27, ss. 379–423.
- YANG, Jiping, FENG, Yijun ve QIU, Wanhua; (2017), “Stock Selection for Portfolios Using Expected Utility-Entropy Decision Model”, Entropy, 19(10), ss. 2-11.
- YANG, Jiping and QIU, Wanhua; (2005), “A Measure of Risk and a Decision-Making Model Based on Expected Utility and Entropy”, European Journal of Operational Research, 164(3), ss. 792–799.
- YANG, Jiping and QIU, Wanhua; (2014), “Normalized Expected Utility-Entropy Measure of Risk”, Entropy, 16, ss. 3590–3604
Ayrıntılar
| Birincil Dil | Türkçe |
|---|---|
| Konular | İşletme |
| Bölüm | Makaleler |
| Yazarlar | |
| Yayımlanma Tarihi | 9 Haziran 2018 |
| Yayımlandığı Sayı | Yıl 2018 Cilt: 2 Sayı: 1 |
