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.
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 prooosed aooroach.
出处
《湖北工业大学学报》
2008年第4期84-86,90,共4页
Journal of Hubei University of Technology
关键词
模糊数
投资组合选择
悲观准则
fuzzy numbers
portfolio selection
pessimistic criterion
