Comparison of normalized Expected Utility-Entropy investment decision model with Second Degree Stochastic Dominance criterion in stock selection?

As a new economical development mode, “low-carbon economic” is attracting more and more attention all over the world. In this paper, associating with the development background of the low-carbon industry, we applied the uncertainty set pair analysis (SPA) into the investment decision-making of the listed company, and established the investment decision model based on the uncertainty SPA. As a case, we made investment decision analysis to 12 typical low-carbon industrial listed companies selected. The results show that it is effective and applicable, and the research is helpful for the investors conducting decision-making.

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Research of Building Intelligent Investment Decision Mode for Investment Portfolio — Using Taiwan Electronic Stock as an Example

Review of Pacific Basin Financial Markets and Policies ◽

10.1142/s0219091510002104 ◽

2010 ◽

Vol 13 (04) ◽

pp. 621-645 ◽

Cited By ~ 1

Author(s):

Wen-Rong Jerry Ho ◽

C. H. Liu ◽

H. W. Chen

Keyword(s):

Stock Returns ◽

Stock Prices ◽

Stock Exchange ◽

Investment Decision ◽

Investment Strategy ◽

Return Rate ◽

Selection Strategy ◽

Stock Selection ◽

Taiwan Stock Exchange ◽

Book To Market Ratio

This research uses all of the listed electronic stocks in the Taiwan Stock Exchange as a sample to test the performance of the return rate of stock prices. In addition, this research compares it with the electronic stock returns. The empirical result shows that no matter which kind of stock selection strategy we choose, a majority of the return rate is higher than that of the electronics index. Evident in the results, the predicted effect of BPNN is better than that of the general average decentralized investment strategy. Furthermore, the low price-to-earning ratio and the low book-to-market ratio have a significant long-term influence.

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Performance of Portfolios Based on the Expected Utility-Entropy Fund Rating Approach

Entropy ◽

10.3390/e23040481 ◽

2021 ◽

Vol 23 (4) ◽

pp. 481

Author(s):

Daniel Chiew ◽

Judy Qiu ◽

Sirimon Treepongkaruna ◽

Jiping Yang ◽

Chenxiao Shi

Keyword(s):

Mutual Funds ◽

Portfolio Selection ◽

Expected Utility ◽

Decision Model ◽

Risky Choice ◽

Numerical Representation ◽

Better Than ◽

The Eu

Yang and Qiu proposed and reframed an expected utility–entropy (EU-E) based decision model. Later on, a similar numerical representation for a risky choice was axiomatically developed by Luce et al. under the condition of segregation. Recently, we established a fund rating approach based on the EU-E decision model and Morningstar ratings. In this paper, we apply the approach to US mutual funds and construct portfolios using the best rating funds. Furthermore, we evaluate the performance of the fund ratings based on the EU-E decision model against Morningstar ratings by examining the performance of the three models in portfolio selection. The conclusions show that portfolios constructed using the ratings based on the EU-E models with moderate tradeoff coefficients perform better than those constructed using Morningstar. The conclusion is robust to different rebalancing intervals.

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