存在融资条件下证券组合选择的一种模糊决策方法  

A Fuzzy Portfolio Selection Decision Methodology under Borrowing Constraint

作　　者：陈炜[1] 张润彤[1] 杨玲[1] 

机构地区：[1]北京交通大学经济管理学院,北京100044

出　　处：《北京交通大学学报（社会科学版）》2007年第1期67-70,共4页Journal of Beijing Jiaotong University(Social Sciences Edition)

基　　金：北京交通大学科技基金(2005SM018);北京交通发展研究基地资助

摘　　要：应用模糊可能性理论研究了在实际投资决策中存在融资条件下的证券组合选择问题。用证券收益的可能性均值和方差分别作为投资收益和风险的测度,将选择证券组合的概率均值-方差模型简化为一个线性规划模型,使得存在融资条件下有效投资组合的算法问题得到解决。最后,给出了一个数值例子,说明了这种决策方法是便捷有效的。The portfolio selection problem with borrowing constraint is studied based on the possibilitic theory under the assumption that the returns of assets are fuzzy numbers. The possibilitic mean value of the return is termed measure of investment return, and the possibilitic variance of the return is termed measure of investment risk. We further present a linear programming model for portfolio selection problem, the conventional probabilitic mean-variance model is simplified and extended. At last, a numerical example is given to illustrate our proposed effective means and approaches.

关 键 词：证券组合选择 优化决策 可能性均值 可能性方差 融资约束 

分 类 号：F830.59[经济管理—金融学]