| 基于投资者偏好的模糊投资组合模型 |
| |
| 引用本文： | 赵丽华,杨勇,张再生.基于投资者偏好的模糊投资组合模型[J].电子科技大学学报(社会科学版),2011,13(3):58-61. |
| |
| 作者姓名： | 赵丽华 杨勇 张再生 |
| |
| 作者单位： | 天津大学 天津300072 |
| |
| 基金项目： | 2006年度国家自然科学基金重点项目 |
| |
| 摘 要： | 研究了模糊环境下的投资组合优化,将证券的收益率描述为模糊变量,基于可信性理论,提出了平均损失风险,利用平均损失风险的加权平均度量投资风险,此风险度量可以反映投资者的不同风险偏好程度,并建立了模糊环境下的投资组合模型。
|
| 关 键 词： | 模糊变量 收益率 风险 投资组合 |
Fuzzy Portfolio Selection Model Based on Investor's Preference |
| |
| ZHAO Li-hua,YANG Yong,ZHANG Zai-sheng.Fuzzy Portfolio Selection Model Based on Investor's Preference[J].Journal of University of Electronic Science and Technology of China(Social Sciences Edition),2011,13(3):58-61. |
| |
| Authors: | ZHAO Li-hua YANG Yong ZHANG Zai-sheng |
| |
| Institution: | (Tianjin University Tianjin 300072 China) |
| |
| Abstract: | In this paper,the return rates of securities are characterized as fuzzy variables rather than random variables.The average loss risk is proposed based on the credibility theory.The weighted loss risk is employed to measure the risk of portfolio and it reflects the investor＇s psychology well.The fuzzy portfolio selection model based on investor＇s preference is established. |
| |
| Keywords: | fuzzy variable return rate risk portfolio selection |
| 本文献已被 维普 万方数据 等数据库收录！ |
|
