基于直觉模糊混合熵的投资组合风险度量模型  

A Risk Measure Approach for Portfolio Selection based on the Hybrid Entropy of Intuitionistic Fuzzy Sets

作　　者：张宇卓 丁晓松[2] ZHANG Yu-zhuo;DING Xiao-song(School of Statistics,University of International Business and Economics,Beijing 100029,China;International Business School,Beijing Foreign Studies University,Beijing 100089,China)

机构地区：[1]对外经济贸易大学统计学院,北京100029 [2]北京外国语大学国际商学院,北京100089

出　　处：《数学的实践与认识》2022年第11期256-262,共7页Mathematics in Practice and Theory

基　　金：对外经济贸易大学中央高校基本科研业务费专项资金资助(17YB11)。

摘　　要：直觉模糊集混合熵通过真假隶属函数能够有效处理同时具有随机性和直觉模糊性的不确定性信息.采用直觉模糊集混合熵来度量投资组合问题中关于投资风险的不确定性程度,给出一种模糊随机环境下投资组合的风险度量模型,比传统的风险度量方法更具理论价值和实际意义,并通过实例说明该模型可行有效.Hybrid entropy of intuitionistic fuzzy sets can be used to deal with the information with randomness and intuitionistic fuzziness.We use it to measure the uncertainty of investment risk in portfolio selection,and propose a risk measure method for portfolio selection under fuzzy random environment.It has more theoretical value and is more practical than traditional risk measure methods.An illustrative example shows that the given approach is feasible and effective.

关 键 词：混合不确定性 混合熵 直觉模糊集 投资组合 风险度量 

分 类 号：F224[经济管理—国民经济]