摘要
随机性和模糊性是风险投资问题不确定性的两个方面,从模糊性的角度考虑投资资产组合的决策问题,用模糊数刻画资产的预期收益率,在每一置信度水平上,当设定资产组合收益目标之后,给出了最优资产组合的决策模型.进一步研究了资产组合收益目标与风险的关系,得到了揭示决策模型最优资产组合存在情况的若干结果.
Randomness and fuzziness are two aspects of uncertainty existed in risk investment. From the angle of fuzziness, this paper discusses the decision problem of portfolio. Firstly, the decision model is given on every confidence level when the profit goal is set. And then, the relationship between profit goal and risk is explored and the existence of minimun risk portofolio is proved.
出处
《广州大学学报（自然科学版）》
CAS
2004年第3期200-202,205,共4页
Journal of Guangzhou University:Natural Science Edition
基金
广东省自然科学基金资助项目(O21358)
关键词
最优资产组合
模糊信息
决策模型
optimal portfolio
fuzzy information
decision model
