摘要
从模糊性的角度考虑选择风险资产投资组合问题 ,对于收益率为模糊数的情形 ,在每一置信水平上 ,以偏离中心值的程度作为风险的度量 ,当预期收益率给定时 ,证明最小风险选择组合的存在性并得到其最优解 ,还给出全局最小风险组合存在的条件及其对应的全局最小风险的算式。
The aim of this paper is to discuss the problem of portfolio selection in which profit rates are presented as fuzzy numbers. On every confidence level, we use the degree of departure from certral point as the measure of risk and prove the existence of minimum risk portfolio and give the optimal solution when the anticipation profits are set. Furthermore, we also present the condition of existence about overall minimum risk portfolio and the corresponding formulae for calculating the overall minimum risk.
出处
《模糊系统与数学》
CSCD
2002年第4期100-105,共6页
Fuzzy Systems and Mathematics
基金
国家自然科学基金资助项目 (70 0 710 12 )
