基于整体预测模型对投资组合选择模型的研究  

Study of Portfolio Selection Model Based on the Overall Prediction Model

作　　者：孙冲 陈亚楠 班闪 杨盼盼 孙敏 Sun Chong;Chen Yanan;Ban Shan;Yang Panpan;Sun Min(School of Computer Science and Technology,Shangqiu University,Shangqiu 476000,China;School of Economics,North China University of Science and Technology,Tangshan 063200,China)

机构地区：[1]商丘学院计算机工程学院,河南商丘476000 [2]华北理工大学经济学院,河北唐山063200

出　　处：《洛阳师范学院学报》2019年第8期55-58,共4页Journal of Luoyang Normal University

基　　金：河南省民办高校协会项目(HMXL-20180367);商丘学院教改项目

摘　　要：考虑收益率的不确定性,运用三角模糊数度量了期望收益率.基于三角模糊数的整体GM(1.1)预测模型,定义了在三角模糊数下的可能性均值、可能性方差、可能性协方差以及可能性协方差阵.基于整体GM(1.1)预测模型,建立了投资组合选择模型并利用Lagrange乘法求解模型.Considering the uncertainty of rate of returns,the expected rate of returns is measured by using triangulation fuzzy number.The overall GM(1,1)prediction model based on triangulation fuzzy number,the overall prediction GM(1.1)model of the trapezoidal fuzzy number,the mean,variance,covariance and covariance matrix of possibility are defined.Based on the overall GM(1,1)prediction model,a portfolio selection model is established and the Lagrange multiplication is applied to the solution of portfolio selection model.

关 键 词：三角模糊数 整体GM(1 1)预测模型 投资组合选择模型 

分 类 号：F832[经济管理—金融学]