基于模糊收益率的最优投资组合模型  

The Portfolio Model Based on Fuzzy Return Rates

作　　者：李磊[1] 谢淑娟[2] 王剑[1] 倪明放[3] 

机构地区：[1]南昌工学院信息学院,江西南昌330108 [2]南昌工学院经济管理学院,江西南昌330108 [3]解放军理工大学通信工程学院,江苏南京210007

出　　处：《数学的实践与认识》2015年第16期1-5,共5页Mathematics in Practice and Theory

摘　　要：考虑了收益率为模糊数的投资组合问题.在一定置信水平上,用收益率波动差的平方和作为风险的度量,在预期收益率给定时,建立了风险最小化的投资组合模型.投资者可以参考其最优解来减小投资风险.最后给出了一个实例.This paper deals with the optimal investment portfolio problem in which return rates are presented as fuzzy numbers. On every confidence level, difference square sum of return rates is defined as the measure of risk. On condition that the anticipation profits are given a portfolio model is established by minimizing risk. The optimal solution provides a decision-making gist for investors to reduce the risk. At last, an example is given to explain the model.

关 键 词：投资组合 模糊数 波动差平方和 

分 类 号：F224[经济管理—国民经济] F830.91