模糊随机风险偏好下的证券投资组合选择方法  

Portfolio selection method under investor's fuzzy stochastic risk preference

作　　者：秦学志[1] 吴冲锋[2] 

机构地区：[1]大连理工大学管理学院,大连116024 [2]上海交通大学管理学院,上海200030

出　　处：《管理科学学报》2003年第4期73-76,共4页Journal of Management Sciences in China

基　　金：国家杰出青年基金资助项目(70025303);国家自然科学基金资助项目(70273020).

摘　　要：在投资者风险偏好具有随机性和模糊性且效用函数具有线性可加性的假设条件下,建立了相应的证券投资组合选择方法.在特定的效用函数下该方法只涉及一元不等式和一元积分的计算,具有简单实用的特点.应该指出的是,该方法不同于传统的证券组合选择方法,它是建立在RistoL等提出的随机多目标可接受分析———SMAA思想的基础上的.Under the assumption that the investor's risk preference is stochastic and even fuzzy and utility function is of linear additivity, this paper establishes the method for determining the investment portfolio based on fuzzy stochastic risk preference. The method is very simple and concise when the utility function is of the form provided by Fabio Mercurio, because it only needs to solve inequalities and calculate integrals with one variable. It worth mentioning that the method established here is different from the classical ones because it is based on the main idea of SMAA (stochastic multiobjective acceptability analysis) proposed by Risto Lahdelma, et al.

关 键 词：投资组合 风险偏好 不等式 模糊 

分 类 号：F830[经济管理—金融学]