| 双随机变量证券投资组合决策 |
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| 引用本文： | 闫立梅.双随机变量证券投资组合决策[J].计算机工程与应用,2012,48(12):209-212,228. |
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| 作者姓名： | 闫立梅 |
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| 作者单位： | 德州学院数学系,山东德州,253023 |
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| 基金项目： | 山东省科技攻关计划项目（No.2009GG20001029 No.2011YD01069）; 山东省教育厅科研发展计划项目（No.J08LJ54） |
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| 摘 要： | 将收益率刻画为双随机变量,建立了均值-方差证券投资组合模型;研究并给出了双随机变量期望值和方差的一般计算方法,将模型转化为其确定等价形式;讨论了模型的凸性,证明了模型解的存在性和惟一性;通过数值例子验证了模型和方法的可行性。
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| 关 键 词： | 双随机变量 投资组合模型 双随机变量的方差 确定等价类 |
Portfolio selection models with birandom returns |
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| YAN Limei.Portfolio selection models with birandom returns[J].Computer Engineering and Applications,2012,48(12):209-212,228. |
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| Authors: | YAN Limei |
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| Affiliation: | YAN Limei Department of Mathematics,Dezhou University,Dezhou,Shandong 253023,China |
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| Abstract: | Mean-variance models for portfolio selection are established by describing security returns as birandom variables.The mathematical expectation and variance of birandom variable are studied.The general computational expressions of mathematical expectation and variance of birandom variable are given.Thus the proposed models can be changed into their crisp equivalent ones when the security returns are chosen as some special birandom variables.The convexity of the models is discussed.The existence and uniqueness of the solutions to the models are verified.The feasibility of the methods is illustrated by an example. |
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| Keywords: | birandom variable portfolio selection model variance of birandom variable deterministic equivalence |
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