摘要
在二目标有价证券选择基础上 ,引入目前流行的风险指标 VAR,以收益率与风险损失为目标 ,将模糊概念运用于有价证券组合选择 ,按投资者给定的期望目标及容差 ,讨论了 S型隶属函数模型 .通过 VAR的给定 ,将投资者所能承受的最大损失锁定 ,更好地反映出投资者对目标值的取值意图 .依据深圳股票市场9只股票收益率数据 ,采用进化规划进行优化计算 ,并验证模型的有效性 .
On the basis of two portfolio selection, the fuzzy concept is applied to the portfolio composition selection. According to the hope, object and the permitting difference given by the investor, the risk target VAR is drawed, and the model of type S membership function is disoussed. The permitting loss of the investor is fixed by the giving of target VAR. It very well reacts on that the investor takes the value intention for the object value .For the data of ten stock profit rate in Shen Zhen stock market, the evolutionly programming is adoped to waged the optimization and to verify the effectivness of the model.
出处
《数学的实践与认识》
CSCD
北大核心
2003年第3期35-40,共6页
Mathematics in Practice and Theory
基金
辽宁省自然科学基金资助 (9910 2 0 0 2 0 8)
