| 基于模糊集分析的投资组合模型 |
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| 引用本文： | 陈新建,牛秀明. 基于模糊集分析的投资组合模型[J]. 湖北工业大学学报, 2008, 23(4): 84-86 |
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| 作者姓名： | 陈新建 牛秀明 |
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| 作者单位： | 华中农业大学经济管理学院,湖北,武汉,430070;武汉大学经济管理学院,湖北,武汉,430072 |
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| 摘 要： | 提出了一种模糊投资组合选择模型来规避决策中的不确定性．运用模糊集理论模拟不确定性、灵活可变的信息，然后运用悲观准则将模糊约束条件转化为纯数学模型，通过求解最大值就可以确定最优的投资组合．最后通过实例对模型进行了验证．
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| 关 键 词： | 模糊数 投资组合选择 悲观准则 |
A Portfolio Selection Model Based on A Fuzzy Set Analysis |
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| CHEN Xin-jian,NIU Xiu-ming. A Portfolio Selection Model Based on A Fuzzy Set Analysis[J]. Journal of Hubei University of Technology, 2008, 23(4): 84-86 |
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| Authors: | CHEN Xin-jian NIU Xiu-ming |
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| Affiliation: | CHEN Xin-jian , NIU Xiu-ming (1 Economics and Management College of HZAU,Wuhan 430070, China; 2 Economics and Management College of WHU,Wuhan 430072,China) |
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| Abstract: | This paper is to develop a fuzzy portfolio selection model to hedge against the uncertainty in decision making.First,a fuzzy set theory is applied to model uncertain and unreliable information,then the fuzzy portfolio selection model is converted into a crisp mathematical model from the perspective of risk averse.The transformed model can be solved by an optimization technique to determine an optimum portfolio.At last,an example is used to illustrate the proposed approach. |
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| Keywords: | fuzzy numbers portfolio selection pessimistic criterion |
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