摘要
研究了模糊环境下的投资组合模型,将证券的收益率描述为模糊变量,运用信息熵度量投资风险,分析了模糊熵度量模糊环境下的不确定性的优点,提出了模糊环境下基于信息熵风险度量的投资组合模型,设计了基于模糊模拟的混合智能算法对具有模糊收益的投资组合模型进行求解。
The return rates of securities are characterized as fuzzy variables rather than random variables. The fuzzy entropy, which is a measure of uncertainty is employed to measure the risk of investment. The portfolio selection model based on entropy risk measure is proposed in fuzzy environment. A hybrid intelligent algorithm based on fuzzy simulation is designed to solve the new optimization problem.
出处
《北京理工大学学报(社会科学版)》
CSSCI
2008年第6期59-61,共3页
Journal of Beijing Institute of Technology:Social Sciences Edition
基金
国家自然科学基金项目(70571056)
河南省教育厅自然科学研究计划项目(2008B110005)
关键词
模糊变量
模糊熵
收益率
投资组合
智能算法
Fuzzy variable
Fuzzy entropy
Return rate
Portfolio selection
Intelligent algorithm