摘要
研究了模糊环境下的投资组合优化,将证券的收益率描述为模糊变量,基于可信性理论,提出了平均损失风险,利用平均损失风险的加权平均度量投资风险,此风险度量可以反映投资者的不同风险偏好程度,并建立了模糊环境下的投资组合模型。
In this paper,the return rates of securities are characterized as fuzzy variables rather than random variables.The average loss risk is proposed based on the credibility theory.The weighted loss risk is employed to measure the risk of portfolio and it reflects the investor＇s psychology well.The fuzzy portfolio selection model based on investor＇s preference is established.
出处
《电子科技大学学报（社科版）》
2011年第3期58-61,共4页
Journal of University of Electronic Science and Technology of China(Social Sciences Edition)
基金
2006年度国家自然科学基金重点项目(70633001)
关键词
模糊变量
收益率
风险
投资组合
fuzzy variable
return rate
risk
portfolio selection
