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考虑投资者风险态度的随机模糊投资组合模型及实证 被引量:5
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作者 刘家和 金秀 苑莹 《运筹与管理》 CSSCI CSCD 北大核心 2016年第1期166-174,共9页
考虑投资者面临证券市场随机和模糊的双重不确定性,把证券收益率视为随机模糊变量。在前景理论下考虑投资者的风险态度,建立不同的随机模糊收益率、期望收益隶属度函数和目标权重,构建考虑投资者风险态度的随机模糊投资组合模型。采用... 考虑投资者面临证券市场随机和模糊的双重不确定性,把证券收益率视为随机模糊变量。在前景理论下考虑投资者的风险态度,建立不同的随机模糊收益率、期望收益隶属度函数和目标权重,构建考虑投资者风险态度的随机模糊投资组合模型。采用实证方法把市场分为下降和上升两个阶段,研究不同风险态度投资者的投资组合差异及模型表现。结果表明:投资者的风险态度会影响投资组合的结构;考虑投资者风险态度的随机模糊投资组合模型,能够满足不同风险态度投资者对投资收益和风险的差异需求,且在实际投资决策中具有可行性。 展开更多
关键词 金融工程 投资组合模型 随机模糊数 风险态度 前景理论
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基于证据理论和效用理论的电力系统风险评估 被引量:38
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作者 张国华 段满银 +2 位作者 张建华 陈德刚 杨京燕 《电力系统自动化》 EI CSCD 北大核心 2009年第23期1-4,47,共5页
在所提出的风险评估模型中,将线路的故障可能性看做随机模糊数,基于证据理论构造了架空线路的故障可能性模型,可更好地反映外部环境对线路故障可能性的影响;并采用效用函数度量电力系统元件故障损失带来的不满意程度,所给出的指标能灵... 在所提出的风险评估模型中,将线路的故障可能性看做随机模糊数,基于证据理论构造了架空线路的故障可能性模型,可更好地反映外部环境对线路故障可能性的影响;并采用效用函数度量电力系统元件故障损失带来的不满意程度,所给出的指标能灵敏地反映电力系统故障风险的变化趋势,符合电网运行实际;最后以北京电网为例,说明了该方法的可行性和有效性。 展开更多
关键词 风险评价 证据理论 随机模糊数 故障严重程度 效用理论
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Multisensor Fuzzy Stochastic Fusion Based on Genetic Algorithms 被引量:3
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作者 胡昌振 谭惠民 《Journal of Beijing Institute of Technology》 EI CAS 2000年第1期49-54,共6页
To establish a parallel fusion approach of processing high dimensional information, the model and criterion of multisensor fuzzy stochastic data fusion were presented. In order to design genetic algorithm fusion, the ... To establish a parallel fusion approach of processing high dimensional information, the model and criterion of multisensor fuzzy stochastic data fusion were presented. In order to design genetic algorithm fusion, the fusion parameter coding, initial population and fitness function establishing, and fuzzy logic controller designing for genetic operations and probability choosing were completed. The discussion on the highly dimensional fusion was given. For a moving target with the division of 1 64 (velocity) and 1 75 (acceleration), the precision of fusion is 0 94 and 0 98 respectively. The fusion approach can improve the reliability and decision precision effectively. 展开更多
关键词 MULTISENSOR data fusion fuzzy random genetic algorithm
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确定权重分配的一种实用方法
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作者 汤万金 李祥仪 《黑龙江矿业学院学报》 1996年第2期84-86,共3页
从权的基本性质出发,针对群体确定权重分配方法,提出了“专家可信度”的概念,在此基础上,改进了群体确定权重分配方法。
关键词 可信度 随机模糊数 权重分配 实用法
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由“权”的概念及特性引出的确定权重的方法 被引量:1
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作者 白雪梅 赵松山 《江苏统计》 1998年第10期18-20,共3页
权这个术语,人们并不陌生。在日常工作和生活中应用得相当广泛,尤其是在复杂的多指标的社会经济系统的决策与评价中,都要涉及到因素权重的考虑。目前已有不少文献对权重的确定方法进行过研究,但却甚少从权的概念及特性出发,来思考... 权这个术语,人们并不陌生。在日常工作和生活中应用得相当广泛,尤其是在复杂的多指标的社会经济系统的决策与评价中,都要涉及到因素权重的考虑。目前已有不少文献对权重的确定方法进行过研究,但却甚少从权的概念及特性出发,来思考确定权重的方法,本文是在探讨权的概... 展开更多
关键词 权重值 “权” 区间映射 确定权 相对重要性 模糊区间 归一化 随机模糊数 区间 模糊关系
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Strong Limit Theorems for Arbitrary Fuzzy Stochastic Sequences
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作者 费为银 《Journal of Donghua University(English Edition)》 EI CAS 2008年第5期556-560,共5页
Based on fuzzy random variables, the concept of fuzzy stochastic sequences is defined. Strong limit theorems for fuzzy stochastic sequences are established. Some known results in non-fuzzy stochastic sequences are ext... Based on fuzzy random variables, the concept of fuzzy stochastic sequences is defined. Strong limit theorems for fuzzy stochastic sequences are established. Some known results in non-fuzzy stochastic sequences are extended. In order to prove results of this paper, the notion of fuzzy martingale difference sequences is also introduced. 展开更多
关键词 fuzzy random variables fuzzy conditional expectation strong law of large numbers fuzzy stochastic sequences fuzzy martingale difference sequences
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Metrics on Noncompact Fuzzy Number Space E^n
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作者 冯玉瑚 《Journal of Donghua University(English Edition)》 EI CAS 2004年第2期83-87,共5页
The theory of metric spaces of fuzzy numbers has been established and found very convenient in many research fields on fuzzy analysis such as fuzzy integrals and differentials, fuzzy differential equations, fuzzy rand... The theory of metric spaces of fuzzy numbers has been established and found very convenient in many research fields on fuzzy analysis such as fuzzy integrals and differentials, fuzzy differential equations, fuzzy random variables and fuzzy stochastic processes etc.. But, a large part of this theory heavily depends on the condition that fuzzy number has to have compact support set and so fails to analyze and apply noncompact fuzzy numbers. The purpose of this paper is to introduce three classes of metrics on noncompact fuzzy number space and to discuss their basic properties, completeness and separability in detail. 展开更多
关键词 Noncompact fuzzy number METRIC COMPLETENESS SEPARABILITY ANALYSIS
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T-S Fuzzy Stochastic Bilinear Model and Fuzzy Controller Design Based on Switching Piecewise Lyapunov Functions
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作者 Wei Wang JiangRong Li 《Journal of Mathematics and System Science》 2014年第6期398-410,共13页
Based on a piecewise quadratic lyapunov function (PQLF), this paper presents stochastic stability analysis and synthesis methods for ItO and discrete T-S fuzzy bilinear stochastic systems. Two improved stochastic st... Based on a piecewise quadratic lyapunov function (PQLF), this paper presents stochastic stability analysis and synthesis methods for ItO and discrete T-S fuzzy bilinear stochastic systems. Two improved stochastic stability conditions have been established in terms of linear matrix inequalities (LMIs). It is shown that the stability in the mean square for T-S fuzzy bilinear stochastic systems can be established if a PQLF can be constructed. Considering the established stability criterion, the controller can be designed by solving a set of (LMIs), and the closed loop system is asymptotically stable in the mean square. Two illustrative examples are provided to demonstrate the effectiveness of the results proposed in this paper. 展开更多
关键词 T-S fuzzy system stochastic bilinear system piecewise lyapunov function linear matrix inequality.
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