| 基于可信性安全准则的模糊动态投资组合模型 |
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| 引用本文： | 王金凤,曹学明,邱根胜. 基于可信性安全准则的模糊动态投资组合模型[J]. 数学的实践与认识, 2012, 42(5): 1-9 |
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| 作者姓名： | 王金凤 曹学明 邱根胜 |
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| 作者单位： | 1. 南昌航空大学数学与信息科学学院,江西南昌,330063
2. 西南大学经济与管理学院,重庆,400715 |
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| 摘 要： | 研究了模糊环境下的动态投资组合模型,将证券的收益率描述为模糊变量,提出了基于可信性测度的安全准则,可信性安全准则反映了投资者对灾难事件的容忍水平.建立了基于可信性安全准则的模糊动态投资组合模型,对建立的模型设计了基于模糊模拟的混合智能算法进行求解,并在Visual C++环境下,用C语言实现了对实例的求解,证明了混合智能算法的有效性和合理性.
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| 关 键 词： | 动态投资组合 模糊变量 可信性 智能算法 |
Fuzzy Dynamic Portfolio Selection Model Based on the Safety Standards of Credibility |
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| WANG Jin-feng , CAO Xue-ming , QIU Gen-sheng. Fuzzy Dynamic Portfolio Selection Model Based on the Safety Standards of Credibility[J]. Mathematics in Practice and Theory, 2012, 42(5): 1-9 |
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| Authors: | WANG Jin-feng CAO Xue-ming QIU Gen-sheng |
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| Affiliation: | 1 (1.College of Mathematics and Information Science,Nanchang Hangkong University,Nanchang 330063,China) (2.College of Economics and Management,Southwest University,Chongqing 400715,China) |
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| Abstract: | This paper studies the dynamic portfolio model in the fuzzy environment.It puts forward the safety criterion based on credibility measure through describing the security yield as fuzzy variable.The safety criterion of credibility reflects the investor’s tolerance level of catastrophic events.The fuzzy dynamic portfolio model based on the safety standards of credibility is established.The hybrid intelligent algorithm based on the fuzzy simulation is designed to solve the established model.And in Visual C++ environment,it proves the efficiency and rationality of hybrid intelligent algorithm through solving the living examples by using C language. |
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| Keywords: | dynamic portfolio selection fuzzy variable credibility intelligent algorithm |
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