基于偏好可能性均值的模糊投资组合模型及实证分析

数学理论与应用 ›› 2018, Vol. 38 ›› Issue (1-2): 96-103.

基于偏好可能性均值的模糊投资组合模型及实证分析

孙坤杰

广西大学数学与信息科学学院

出版日期:2018-06-30 发布日期:2020-09-18
基金资助:
广西研究生教育创新计划项目(JGY2015007)

Fuzzy Portfolio Model Based on the Mean of Preference Possibility and Empirical Analysis

Online:2018-06-30 Published:2020-09-18

摘要/Abstract

摘要： 本文通过客观模糊频数统计法,将证券投资的不确定收益用模糊数来表达,并利用模糊数的可能性均值将模糊收益清晰化,以及采用半绝对偏差函数来度量证券投资的风险,考虑证券换手率约束,构建基于偏好可能性均值—半绝对偏差投资组合模型,并对所建模型进行实证分析.

关键词: 投资组合, 可能性均值, 模糊数

Abstract: In this paper, by means of objective fuzzy frequency statistics, the uncertain returns of securities investment are expressed by fuzzy numbers, and the fuzzy returns are clarified by the possibility mean of fuzzy numbers, and the semi-absolute deviation function is used to measure the risk of securities investment. Considering the constraint of securities turnover rate, a portfolio model based on preference possibility mean-semi-absolute deviation is constructed, and the empirical analysis of the model is carried out.

Key words: Portfolio , Probability Mean , Fuzzy Number

孙坤杰. 基于偏好可能性均值的模糊投资组合模型及实证分析[J]. 数学理论与应用, 2018, 38(1-2): 96-103.

Sun Kunjie. Fuzzy Portfolio Model Based on the Mean of Preference Possibility and Empirical Analysis[J]. Mathematical Theory and Applications, 2018, 38(1-2): 96-103.