北京交通大学学报:社会科学版
北京交通大學學報:社會科學版
북경교통대학학보:사회과학판
Journal of Beijing Jiaotong University Social Sciences Edition
2007年
1期
67~70
,共null页
陈炜 张润彤 杨玲
陳煒 張潤彤 楊玲
진위 장윤동 양령
证券组合选择 优化决策 可能性均值 可能性方差 融资约束
證券組閤選擇 優化決策 可能性均值 可能性方差 融資約束
증권조합선택 우화결책 가능성균치 가능성방차 융자약속
portfolio selection; optimal decision; possibilitic mean value;possibilitic variance; borrowing constraint
应用模糊可能性理论研究了在实际投资决策中存在融资条件下的证券组合选择问题。用证券收益的可能性均值和方差分别作为投资收益和风险的测度,将选择证券组合的概率均值一方差模型简化为一个线性规划模型,使得存在融资条件下有效投资组合的算法问题得到解决。最后,给出了一个数值例子,说明了这种决策方法是便捷有效的。
應用模糊可能性理論研究瞭在實際投資決策中存在融資條件下的證券組閤選擇問題。用證券收益的可能性均值和方差分彆作為投資收益和風險的測度,將選擇證券組閤的概率均值一方差模型簡化為一箇線性規劃模型,使得存在融資條件下有效投資組閤的算法問題得到解決。最後,給齣瞭一箇數值例子,說明瞭這種決策方法是便捷有效的。
응용모호가능성이론연구료재실제투자결책중존재융자조건하적증권조합선택문제。용증권수익적가능성균치화방차분별작위투자수익화풍험적측도,장선택증권조합적개솔균치일방차모형간화위일개선성규화모형,사득존재융자조건하유효투자조합적산법문제득도해결。최후,급출료일개수치례자,설명료저충결책방법시편첩유효적。
The portfolio selection problem with borrowing constraint is studied based on the possibilitic theory under the assumption that the returns of assets are fuzzy numbers. The possibilitic mean value of the return is termed measure of investment return, and the possibilitic variance of the return is termed measure of investment risk. We further present a linear programming model for portfolio selection problem, the conventional probabilitic mean-variance model is simplified and extended. At last, a numerical example is given to illustrate our proposed effective means and approaches.