| 基于模糊概率的Markowitz投资组合分散风险的理论及实证研究 |
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| 引用本文： | 王芳.基于模糊概率的Markowitz投资组合分散风险的理论及实证研究[J].统计与信息论坛,2008,23(5):61-64,76. |
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| 作者姓名： | 王芳 |
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| 作者单位： | 中国人民大学,财政金融学院,北京,100872 |
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| 摘 要： | 在分析Markowitz模型不足的基础上，提出了一个修正模型。该模型采用模糊概率的方法对投资组合里各资产的权重进行合理调整，更准确地显现投资组合分散风险的效果，并利用实际数据对该模型进行了实证研究，验证了资产数量与组合风险之间关系的理论学说，表明在近年来的上海股票市场中适宜的投资规模不超过20种。
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| 关 键 词： | 资产组合 收益 风险 模糊概率 |
| 文章编号： | 1007-3116(2008)05-0061-05 |
| 修稿时间： | 2008年2月25日 |
Theoretical and Empirical Studies on Diversification of Risk of Markowitz's Portfolio Based on Fuzzy Probability |
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| WANG Fang.Theoretical and Empirical Studies on Diversification of Risk of Markowitz''''s Portfolio Based on Fuzzy Probability[J].Statistics & Information Tribune,2008,23(5):61-64,76. |
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| Authors: | WANG Fang |
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| Institution: | WANG Fang (School of Finance, Renmin University of China, Beijing 100872, China) |
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| Abstract: | On the basis of studying shortcomings of the Markowitz＇s model, a revised model is given in this paper. A method of fuzzy probability is used to adjust the power of the asset in the portfolio, so a more exact effect of diversifying risk could be mapped in the revised model. At the end, the revised model is applied on the data from stock market, which verifies the theory of portfolio diversifying risk, and the result shows that the right stock size of portfolio is not more than 20. |
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| Keywords: | portfolio profit risk fuzzy probability |
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