| 带有模糊系数的投资组合模型研究 |
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| 引用本文： | 王秀国,邱菀华,董纪昌.带有模糊系数的投资组合模型研究[J].模糊系统与数学,2006,20(2):109-118. |
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| 作者姓名： | 王秀国 邱菀华 董纪昌 |
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| 作者单位： | 1. 北京航空航天大学经管学院,北京,100083
2. 中国科学院研究生院管理学院,北京,100080 |
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| 基金项目： | NSFC(70372011)，GSCAS(yzjj200307) |
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| 摘 要： | 在证券市场,由于各种不确定因素的存在,证券的预期收益率是难以精确估算的。本文采用模糊数来处理不确定性,提出了一种基于模糊收益率的投资组合模型。为度量投资组合的风险,将绝对偏差扩展到模糊情形。通过引入模糊数绝对值的概念和不等关系的两种占优准则,将该模型转化为相应的确定性线性规划问题,投资者可根据自己的主观态度选择参数和投资策略。最后用一个具体例子验证了模型的合理性和有效性。
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| 关 键 词： | 模糊收益率 投资组合模型 模糊绝对偏差 模糊数的绝对值 占优准则 |
| 文章编号： | 1001-7402（2006）02-0109-10 |
| 收稿时间： | 2004-01-19 |
| 修稿时间： | 2004年1月19日 |
Portfolio Selection Model with Fuzzy Coefficients |
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| WANG Xiu-guo,QIU Wan-hua,DONG Ji-chang.Portfolio Selection Model with Fuzzy Coefficients[J].Fuzzy Systems and Mathematics,2006,20(2):109-118. |
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| Authors: | WANG Xiu-guo QIU Wan-hua DONG Ji-chang |
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| Institution: | 1. School of Economics and Management, Beihang University, Beijing 100083,China; School of Management ,Graduate School of Chinese Academy of Sciences,Beiiing 100080,China |
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| Abstract: | In securities markets,the expected rates of security returns are difficulty to estimate precisely due to many uncertainties.In this paper,we use fuzzy numbers to deal with the uncertainty. A new(portfolio) selection model with fuzzy coefficients is proposed.In this model we extend absolute deviation to a fuzzy case to measure the risk of portfolio.Different dominance criteria are used to transform the portfolio selection model to its equivalent deterministic-crisp linear programming problem.An example is given to(illustrate) that the new models can be used efficiently to solve portfolio selection problems. |
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| Keywords: | Fuzzy Expected Rate of Return Portfolio Selection Model Fuzzy Absolute Deviation (Absolute) Value of Fuzzy Number Dominance Criteria |
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