摘要
给出一种新的模糊数间的距离公式.用新定义的距离公式来度量给定优先资产的条件下投资组合的分散度.用可能性均值度量投资组合的收益,可能性半方差度量投资组合的风险,在收益和风险满足一定的条件下构造分散度模型.通过实例分析,给出的方法不仅分散度更好,而且资产分配多元化程度更高,计算也更简单.
The paper gives a distance between a new fuzzy numbers-distance.We introduce a new method in which the distance between fuzzy numbers is used to measure the divergence of fuzzy investment return from a prior one.Firstly,New mathematical models are proposed by expressing divergence as distance,with possibilistic mean as portfolio returns and possibilisticsemivariance as portfolio risk,respectively.Secondly,the crisp forms of the new models are also provided for different types fuzzy numbers,several numerical examples show the model given are better divergence,asset allocation and diversification degree is higher,calculation is more simple.
作者
谷秋鹏
曲国华
曲卫华
王艳芳
薛茹丹
GU Qiu-peng;QU Guo-hua;QU Wei-hua;WANG Yan-fang;XUE Ru-dan(School of Mathematics and Information Sciences,Weifang University,Weifang 261061,China;School of Management and Economics,Beijing Institute of Technology,Beijing 100081,China;School of Management Science and Engineering,Shanxi University of Finance and Economics,Taiyuan 030006,China;Institute of Management and Decision,Shanxi University,Taiyuan 030006,China;School of Economics and Management,Shanxi University,Taiyuan 030006,China)
出处
《数学的实践与认识》
2021年第4期253-263,共11页
Mathematics in Practice and Theory
基金
国家自然科学基金:公众参与环境行为下雾霾治理与公共健康影响的根源、机理及演化研究(71874103)
教育部哲学社会科学后期资助项目(18JHQ086)
考虑决策者偏好信息的对偶犹豫模糊多属性决策理论与方法研究
山西省哲学社会科学项目(2018B070)
山西省资源型区域低碳经济转型激励机制与实践路径研究。
关键词
模糊数距离
分散度
投资组合
可能度
distance between fuzzy numbers
divergence
portfolio selection
possibility
