摘要
证券的历史数据和专家对证券未来表现的判断是证券收益率的两个重要信息,本文用基于上述两个信息的可能性分布描述证券收益率的不确定性,并结合可能性理论的三个测度———可能性测度、必要性测度、可信性测度,建立了基于模糊机会约束规划的乐观型、悲观型和折衷型投资组合模型,并且得到了各模型的最优解的解析式。最后给出算例予以说明。
The past security data and expert＇s judgement for the future state of stock are two important information of stock returns. In this paper, possibility distributions describe uncertainty of stock returns. The optimistic, pessimistic and compromise portfolio selection model are identified to set up based on fuzzy chance - constrained programming and optimal solutions are got when possibility distributions are intergrated to three possibility measures - possibility measure, necessity measure and credibility measure. A numerical example of a portfolio selection problem is given to illustrate our proposed approaches.
出处
《数量经济技术经济研究》
CSSCI
北大核心
2005年第9期112-118,共7页
Journal of Quantitative & Technological Economics
关键词
投资组合
可能性分布
模糊机会约束规划
Portfolio Selection
Possibility Distribution
Fuzzy Chance - constrainned Programming
