文献类型：期刊文献

中文题名：概率分布设定风险与投资选择

英文题名：Suppose Risk of Probability Distribution and Investment Choice

作者：李腊生[1];祝惠青[2];高书丽[3]

第一作者：李腊生

机构：[1]天津财经大学中国经济统计研究中心;[2]天津理工大学管理学院;[3]北京联合大学商学院

第一机构：天津财经大学中国经济统计研究中心,天津300222

年份：2009

卷号：23

期号：4

起止页码：65-72

中文期刊名：上海立信会计学院学报

外文期刊名：Journal of Shanghai Lixin University of Commerce

收录：北大核心:【北大核心2008】；

基金：国家社科基金项目(09BTJ008)

语种：中文

中文关键词：概率分布设定风险;状态空间;贝叶斯分析;序贯决策

外文关键词：suppose risk of probability distribution; state space; Bays analysis; sequence decision

摘要：从主客观概率之争入手,结合现实金融资产投资中概率分布的不可知性,讨论金融资产投资分析中的概率分布设定风险,同时借用贝叶斯学习过程与序贯决策策略,探讨概率分布设定风险的控制与投资决策的优化。分析结论认为,基于贝叶斯分析的序贯决策,无论在提升期望收益方面,还是在控制概率分布设定风险方面都是有效的。
Starting with the controversy of subjective probability and objective probability and combining with the unknowable probability distribution of financial asset investment in reality, we discuss the suppose risk of probability distribution in the analysis of financial asset investment. At the same time we explore the control of the suppose risk of probability distribution and the optimizing of investment decision by Bays learning process and sequence decision. The conclusion is that sequence decision based on Bays analysis is effective not only on improving the expected income and but also on controlling the suppose risk of probability distribution.