基于模糊数的证券投资组合模型  

The Portfolio Model of the Securities Market with Fuzzy Number

作　　者：王庆[1] 张夏[2] 

机构地区：[1]苏州市职业大学,江苏苏州215011 [2]中信银行苏州分行,江苏苏州215002

出　　处：《福建金融管理干部学院学报》2009年第5期37-43,共7页Journal of Fujian Institute of Financial Administrators

摘　　要：目前,投资组合的选择在实际中有着广泛的应用背景。自Markowitz的"投资组合的选择"发表以来,关于投资组合的选择问题的研究引起了极大的关注,并取得了丰硕的理论成果。将证券价格的波动视为动态的模糊系统,结合模糊数的概念和线性规划的理论,可建立一个证券市场的模糊投资组合模型。通过并选取雅戈尔、振华港机这两只股票,运用该模型进行实证分析,为证券投资者的决策提供了一个新的解决途径。Currently, the portfolio selection has an extensive application. Since the publication of ＂Portfolio selection＂ by Markowitz, the research on portfolio selection causes the tremendous concern, and obtains the plenteous theoretic result. This paper treats the motion of securities price as dynamic fuzzy system. Combining the concept of the fuzzy number and the theories of linear programming, we build up the fuzzy portfolio model of a securities market and provide a new solution path for the market investor.

关 键 词：投资组合 模糊数 线性规划 

分 类 号：F830.91[经济管理—金融学]