摘要
研究了模糊环境下的动态投资组合模型,将证券的收益率描述为模糊变量,提出了基于可信性测度的安全准则,可信性安全准则反映了投资者对灾难事件的容忍水平.建立了基于可信性安全准则的模糊动态投资组合模型,对建立的模型设计了基于模糊模拟的混合智能算法进行求解,并在Visual C++环境下,用C语言实现了对实例的求解,证明了混合智能算法的有效性和合理性.
This paper studies the dynamic portfolio model in the fuzzy environment. It puts forward the safety criterion based on credibility measure through describing the security yield as fuzzy variable. The safety criterion of credibility reflects the investor＇s tolerance level of catastrophic events. The fuzzy dynamic portfolio model based on the safety standards of credibility is established. The hybrid intelligent algorithm based on the fuzzy simulation is designed to solve the established model. And in Visual C ＋ ＋ environment, it proves the efficiency and rationality of hybrid intelligent algorithm through solving the living examples by using C language.
出处
《数学的实践与认识》
CSCD
北大核心
2012年第5期1-9,共9页
Mathematics in Practice and Theory
关键词
动态投资组合
模糊变量
可信性
智能算法
dynamic portfolio selection
fuzzy variable
credibility
intelligent algorithm
