双随机变量证券投资组合决策  

Portfolio selection models with birandom returns

作　　者：闫立梅[1] 

机构地区：[1]德州学院数学系,山东德州253023

出　　处：《计算机工程与应用》2012年第12期209-212,228,共5页Computer Engineering and Applications

基　　金：山东省科技攻关计划项目(No.2009GG20001029;No.2011YD01069);山东省教育厅科研发展计划项目(No.J08LJ54)

摘　　要：将收益率刻画为双随机变量,建立了均值-方差证券投资组合模型;研究并给出了双随机变量期望值和方差的一般计算方法,将模型转化为其确定等价形式;讨论了模型的凸性,证明了模型解的存在性和惟一性;通过数值例子验证了模型和方法的可行性。Mean-variance models for portfolio selection are established by describing security returns as birandom variables.The mathematical expectation and variance of birandom variable are studied.The general computational expressions of mathematical expectation and variance of birandom variable are given.Thus the proposed models can be changed into their crisp equivalent ones when the security returns are chosen as some special birandom variables.The convexity of the models is discussed.The existence and uniqueness of the solutions to the models are verified.The feasibility of the methods is illustrated by an example.

关 键 词：双随机变量 投资组合模型 双随机变量的方差 确定等价类 

分 类 号：O221.5[理学—运筹学与控制论]