摘要
以灰色系统理论和概率论为基础,探讨了含有区间灰数的组合投资决策问题,提出了具有交易费用的灰色组合投资模型的有效解及其临界最优解和均值白化最优解的概念.并且指出了这些概念所对应的投资偏好.利用分析方法和技巧,融合经典组合投资理论,构建了带有交易费用的灰色组合投资模型的熵权分析算法.为不确定型组合投资决策方法的研究提出了一条新思路.文中的算例说明了算法的可行性.
Based on grey system theory and probability theory,the portfolio selection model with interval grey numbers is discussed. The definitions and their implication are given to explain efficient solution,upper critical optimum solution,lower critical optimum solution and mean whitenization optimum solution of grey portfolio selection model with transaction costs. Using analytical methods and techniques,and combining the classic portfolio selection theory,an algorithm for grey portfolio selection model with transaction costs is presented. This approach provides a new way for the research in uncertain portfolio selection. The given example proves the feasibility of the algorithm.
出处
《数学的实践与认识》
CSCD
北大核心
2005年第5期37-43,共7页
Mathematics in Practice and Theory
基金
河南省自然科学基金项目 (2 0 0 3 1 2 0 0 0 1 )
河南省科技攻关项目 (0 5 2 4490 0 2 1 )
