基于模糊数对证券投资组合选择模型有效前沿的动态分析  

Dynamic analysis for portfolio selection efficient frontier based on fuzzy number

作　　者：孙冲[1] 侯为波[2] 孙敏 SUN Chong HOU Weibo SUN Min(Tianjin College, University of Science and Technology Beijing, Tianjin 301830, China School of Mathematical Sciences Huaihei Normal University, Huaihei 235000, China School of Economics, North China University of Science and Technology, Tangshan 063200, China)

机构地区：[1]北京科技大学天津学院基础部,天津301830 [2]淮北师范大学数学科学学院,安徽淮北235000 [3]华北理工大学经济学院,河北唐山063200

出　　处：《延边大学学报（自然科学版）》2017年第2期154-157,共4页Journal of Yanbian University（Natural Science Edition）

摘　　要：针对金融市场的不确定性,利用区间数以及Copula函数的性质,建立了在Copula-CVaR约束下的投资组合模糊选择模型.利用几何方法构造了投资选择区间,从投资者的角度考虑了不同参数下的有效投资策略,使投资过程更接近于实际情况.Considering the uncertainty of the financial market, a fuzzy portfolio selection model is established under the Copula-CVaR constraint based on interval number and Copula function. The effective scheme based on the different parameters is considered by the investor. Therefore, the investment process is more closer and flexible to the real condition.

关 键 词：区间数 投资组合 几何方法 

分 类 号：O29[理学—应用数学] F830.59[理学—数学]