摘要
从模糊性的角度考虑选择存在无风险资产的投资组合问题,对于收益率为模糊数的情形,在每一置信水平上,以偏离中心值的程度作为风险的度量。当预期收益率给定时,证明最小风险选择组合的存在性。当风险给定时,证明最大收益率选择组合的存在性并得到其最优解。
In this paper, the problem of portfolio selection containing the asset without risk is discussed when the anticipated rates are fuzzy numbers. On every confidence level, we use the degree of departure from central point as the measure of risk.When the anticipated rates are given, the existence of the minimum risk portfolio is proved; when the risk is set, the existence of maximum profit portfolio is also proved and the optimal solution gained.
出处
《苏州科技学院学报（自然科学版）》
CAS
2006年第3期21-26,共6页
Journal of Suzhou University of Science and Technology （Natural Science Edition）
