带有梯形模糊数的均值-方差投资组合模型比较分析

采用梯形模糊数来描述证券的收益率,并建立基于梯形模糊数的收益最大化单目标均值-方差模型、风险最小化单目标均值-方差模型、和收益最大化风险最小化的双目标均值-方差模型.对上述三种模型进行实例分析,讨论投资比例系数上界为1和0.7两种不同情况下三种模型的对比,进而证明模型的可行性以及分析不同模型之间的差异性.

Comparative Analysis on Mean -variance Portfolio Model with Trapezoid Fuzzy Number

The security return was described by trapezoid fuzzy number. The maximizing return single objective portfo- lio model, the minimizing risk single objective portfolio model, and the maximizing return and minimizing risk bi-objective port- folio model were proposed with trapezoid fuzzy number return. Numerical example was given to verify the feasibility of the models, to illustrate our proposed three models, to compare and analyze the differences among three models when the invest proportional coefficient upper bounds are 1 and 0. 7 respectively.