含有模糊信息的证券组合投资模型  

Portfolio Investment Model with Fuzzy Information

作　　者：江卫[1] 阳彩霞[1] 万中[1] 

机构地区：[1]中南大学数学科学与计算技术学院,长沙410075

出　　处：《重庆工学院学报（自然科学版）》2008年第11期89-93,共5页Journal of Chongqing Institute of Technology

基　　金：国家自然科学基金资助项目(10571046);中南大学创新项目

摘　　要：介绍了三角模糊数的度量标准,给出相关的隶属函数和模糊数优度和劣度的概念.讨论了证券组合投资的收益率和风险损失率均为模糊数,且含有无风险证券的证券组合投资模糊目标线性规划模型.在该模型中,通过引入模糊数和三角模糊数的优度和劣度,将模糊目标函数转化为确定型的线性规划模型.投资者可以根据对收益风险的关心程度、对风险的喜好程度及金融市场的客观情况,得到相应情况下的有效投资方案.This paper introduces the metrical standards of triangular fuzzy number, presents the relevant membership function and the concepts of superiority and inferiority of fuzzy number, discusses a fuzzy object linear planning model of portfolio investment with riskless securities, where rate of return and risk loss rate are both fuzzy numbers. In this model, through the introduction of fuzzy numbers and triangular fuzzy number of goodness and the bad, fuzzy objective function is transformed into a set of linear programming model. Investors can obtain effective investment plan based on the income level of interest and the degree of risk preferences and the objective circumstances of financial markets.

关 键 词：模糊规划 三角模糊数 优度 劣度 

分 类 号：TP391.41[自动化与计算机技术—计算机应用技术]