基于熵的投资组合模糊优化模型  

Fuzzy Optimization Model of Investment Portfolio Based on Entropy

作　　者：韩苗[1] 周圣武[1] 仓定帮[1] 

机构地区：[1]中国矿业大学理学院,江苏徐州221008

出　　处：《运筹与管理》2005年第6期126-129,共4页Operations Research and Management Science

摘　　要：本文对基于信息熵的证券投资组合模型,根据模糊决策理论,在模糊环境下对模型进行求解,将投资者的主观意见反映在模糊情况的组合投资模型中,并通过实例,验证了该模型解法的可行性和有效性。In this paper, the algorithm of the model for portfolio selection based on entropy is given according to the fuzzy decision- making theory. The investor＇ s subjective impact is reflected in the model of the fuzzy decision-making environment. In addition, the paper illustrates the feasibility and effectiveness of the algorithm with a practical example.

关 键 词：应用数学 模糊决策 熵 投资组合 隶属函数 

分 类 号：F830.91[经济管理—金融学]