基于可信性理论的投资组合优化问题研究

建立了基于可信性理论的投资组合模型,包括风险最小的单目标均值-方差模型和收益最大的单目标均值-方差模型,运用拉格朗日乘数法对两个模型进行了求解,给出了2个模型解析解的表达式,并通过数值算例验证了模型的可行性.对两个模型的结果进行对比,发现风险最小化和收益最大化的单目标均值—方差模型得到的结果基本吻合.

Study of Portfolio Optimization Model Based on Credibility Theory

We established the portfolio model based on credibility theory.The minimizing risk single objective portfolio model and the maximizing return single objective portfolio model were established and studied.Then the Lagrange multiplier method was used to comput the two models.Finally, a numerical example was given to illustrate the validity of the method.To compare and analyze the two models,we find that the results of two models are basically in coincidence.