风险厌恶型的证券投资数学模型  

A Mathematic Model of Securities Investment with Inclinations to Avoid Risks

作　　者：李建新[1] 胡刚[1] 

机构地区：[1]广东工业大学应用数学学院

出　　处：《数量经济技术经济研究》2005年第3期97-106,共10页Journal of Quantitative & Technological Economics

摘　　要：本文讨论了证券分析的过程和证券投资计划的制定。我们视证券价格 的波动为动态的模糊系统,利用模糊数的概念分析了证券价格的变化规律和定义了 模糊集理论下的证券价格的期望值、证券投资收益率的期望值、预期风险系数。利 用这些结果,我们得到了一个风险厌恶型的证券投资数学模型,为证券投资者的决 策问蹄提供了一种新的解决途径。该模型的建立依赖于投资者的知识和经验,它的 求解过程简单易行。In this paper, we discuss the process of securities analysis and the making of plans for securities investment. Regarding the fluctuation of securities prices as a fuzzy system, we make use of the concept of fuzzy number to analyze the laws of changes of securities prices and define these concepts: the expectation value of securities price, the expectation value of rate of yield, the coefficients of expected risks. Using these results, we get a mathematic model of securities investment with inclinations to avoid risks. This model supplies a new solving method for decision questions of securities investment. The construction of the model depends on investors' knowledge and experiences, while its solving process is easy and uncomplicated.

关 键 词：模糊集 模糊数 语言变量 证券分析 证券投资模型 线性规划 

分 类 号：F8[经济管理]