Research Article
BibTex RIS Cite

THE STOCK SELECTION BASED ON THE NORMALIZED EXPECTED UTILITY- ENTROPY MEASURE OF RİSK AND DECISION MODEL

Year 2018, Volume: 2 Issue: 1, 47 - 65, 09.06.2018

Abstract

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.

References

  • 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

NORMALLEŞTİRİLMİŞ BEKLENEN FAYDA-ENTROPİ RİSK ÖLÇÜMÜNE DAYALI HİSSE SENEDİ SEÇİMİ VE KARAR MODELİ

Year 2018, Volume: 2 Issue: 1, 47 - 65, 09.06.2018

Abstract

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.

References

  • 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
There are 9 citations in total.

Details

Primary Language Turkish
Subjects Business Administration
Journal Section Articles
Authors

Duygu Özkan 0000-0002-7430-0685

Canan Hamurkaroğlu This is me 0000-0002-8537-513X

Selin Değirmenci This is me 0000-0002-4011-1368

Publication Date June 9, 2018
Published in Issue Year 2018 Volume: 2 Issue: 1

Cite

APA Özkan, D., Hamurkaroğlu, C., & Değirmenci, S. (2018). NORMALLEŞTİRİLMİŞ BEKLENEN FAYDA-ENTROPİ RİSK ÖLÇÜMÜNE DAYALI HİSSE SENEDİ SEÇİMİ VE KARAR MODELİ. Ekonomi İşletme Ve Yönetim Dergisi, 2(1), 47-65.