具有模糊收益率的投资组合选择模型  

A Portfolio Selection Model with Fuzzy Returns

作　　者：李蕊[1] 

机构地区：[1]青海大学成教学院,青海西宁810001

出　　处：《信阳师范学院学报（自然科学版）》2013年第2期169-172,共4页Journal of Xinyang Normal University(Natural Science Edition)

摘　　要：为刻画金融市场中的模糊不确定性,把资产收益看作梯形模糊数,使用可能性均值作为预期收益,可能性方差作为风险,并同时考虑最大化收益和最小化风险,建立了一种可能性均值-方差投资组合模型.考虑到模型的非线性和多目标性,利用包含精英主义操作和变异操作的多目标遗传算法对模型进行求解.最后,使用沪深股票市场中的部分股票数据对模型进行了实证分析,结果表明该方法具有较好的应用价值.In order to describe the uncertainty of the returns on a given portfolio, the portfolio selection problems were investigated by using possibilitic theory. Firstly, the expected returns and risk were given by using probabilistic mean and variances, respectively. A portfolio optimization problem whose object is maximizing the return on an invest- ment and minimizing risk was built. Secondly, the non-liuearity and multi-objective of the model was considered and solved by genetic algorithm which incorporated the elite and mutation operations. Finally, the proposed scheme was verified by an empirical analysis of the model with a data set from Shanghai and Shenzhen stock market, and the results show that the method is effective.

关 键 词：投资组合 模糊数 遗传算法 

分 类 号：O211.6[理学—概率论与数理统计] F830.9[理学—数学]