基于Yager熵的直觉梯形模糊数投资组合模型及实证  

Intuitionistic Trapezoidal Fuzzy Number Portfolio Model Based on Yager Entropy and Its Empirical Study

作　　者：孙坤杰 

机构地区：[1]广西大学,数学与信息科学学院,广西南宁

出　　处：《运筹与模糊学》2019年第2期189-202,共14页Operations Research and Fuzziology

基　　金：广西研究生教育创新计划项目资助(JGY2015007)。

摘　　要：本文基于直觉模糊数采用非隶属度和犹豫度刻画事物的模糊不确定性,对模糊投资组合的不确定收益率、风险值、换手率等均用直觉梯形模糊数来表示,并根据直觉梯形模糊数的期望值定义,对模糊不确定收益率、风险值、换手率进行去模糊化,利用Yager熵分散风险的思想,建立基于Yager熵的直觉梯形模糊数投资组合模型。最后,通过实例分析说明模型的有效性。In this paper,based on intuitionistic fuzzy numbers,the non-subordinate degree and hesitation degree are used to describe the fuzzy uncertainty of things.The uncertain yield,risk value and turnover rate of fuzzy portfolios are represented by intuitionistic trapezoidal fuzzy numbers.Ac-cording to the expectation value definition of intuitionistic trapezoidal fuzzy number,the fuzzy uncertain return rate,risk value and turnover rate are defuzzified.Based on the idea of Yager en-tropy to spread risk,an intuitive trapezoidal fuzzy number portfolio model based on Yager entropy is established.Finally,an example is given to illustrate the validity of the model.

关 键 词：模糊不确定性 直觉模糊数 Yager熵 模糊投资组合 

分 类 号：F2[经济管理—国民经济]