摘要
由于诸多因素的影响,证券预期收益率具有不确定性难以精确描述,为了更好的描述证券的预期收益率,假设证券的收益率为模糊随机变量。假设不存在无风险收益证券,且不允许卖空时,应用模糊数学理论,提出了证券组合投资的模糊优化模型。利用模糊随机理论转化模糊优化模型,使其成为一种易求解的随机规划模型。
Based on the supposition that the profit rate of the security is fuzzy random variable, a fuzzy optimization model to portfolio is given in the case that the risky security doesnt exist and short sales are allowed . In the light of fuzzy theory, fuzzy optimization model is changed into the stochastic programming.
出处
《沈阳航空工业学院学报》
2006年第2期88-90,共3页
Journal of Shenyang Institute of Aeronautical Engineering
关键词
模糊随机变量
随机规划
证券组合
fuzzy random variable, stochastic programming , porfolio
