基于模糊空间距离的组合投资模型及应用研究  

Research of Portfolio Selection Model and Its Application Based on Fuzzy Space Distance

作　　者：付云鹏[1] 马树才[2] 宋琪[1] 

机构地区：[1]辽宁大学信息学院 [2]辽宁大学经济学院

出　　处：《数量经济技术经济研究》2012年第8期124-136,F0003,共14页Journal of Quantitative & Technological Economics

基　　金：辽宁大学青年科研基金项目"基于模糊理论的组合投资模型及其应用研究"(2011LDQN16)的资助

摘　　要：本文以模糊空间中的距离为切入点,给出随机变量取值为模糊数时方差的定义,并将其作为投资收益率为模糊数时投资风险的度量;此外,以模糊数的扩张运算定义随机变量取值为模糊数时的均值,并将其作为投资预期收益的度量,建立基于模糊空间距离的组合投资决策模型,将模型的模糊约束条件利用模糊数的排序关系转化为实数之间的关系来求解模型。最后结合实例说明该模型的应用,并与传统模型进行对比,结果表明该模型是传统模型的合理推广。Taking the fuzzy space distance as a pointcut, this paper gives the definition of variance when the random variable is fuzzy number, and takes this variance as the risk measurement standard when the random variables is fuzzy number. This paper takes the extended operation of fuzzy number as the definition of returns measurement standard, and establishes portfolio selection model based on fuzzy space distance. This paper transforms the fuzzy constraints into real constraints to solve the model. Finally, The paper takes China securities market as an example, and the application of this model is given, and compares it with traditional mean-variance model. Result shows that portfolio selection model based on fuzzy space distance is a reasonable extension of traditional mean-variance model.

关 键 词：模糊数 模糊空间距离 组合投资模型 

分 类 号：F830[经济管理—金融学]