摘要
着眼于研究不确定环境下的投资组合问题,讨论了模糊期望值模型,创新点是把协方差引入到风险度量里面,建立一个群投资组合选择模型;选取"上证50指数"中的19支成份股进行实证分析,结合遗传算法,通过运用MATLAB软件编程得到了3种投资者各自应该采取的最优投资组合。
In order to study investment portfolio under uncertain environment,this paper mainly discusses fuzzy expectation model by innovatively introducing covariance into risk measurement,sets up a group investment portfolio selection model,makes empirical analysis by choosing 19 constituent stocks of Shanghai Stock Exchange 50 Index and obtains the optimal investment portfolio which should be implemented by each of three kinds of investors by combining genetic algorithm and by using MATLAB software programming.
出处
《重庆工商大学学报（自然科学版）》
2013年第3期22-28,共7页
Journal of Chongqing Technology and Business University:Natural Science Edition
基金
重庆工商大学创新型项目(yjscxx2012-037-36)
关键词
投资组合
模糊数
遗传算法
investment portfolio
fuzzy number
genetic algorithm
