[1]王　庆,李　政.证券市场的模糊投资组合模型[J].常州大学学报(社会科学版),2007,8(03):48-50.
　WAN GQing,LIZheng.Fuzzy Portfol ioModel of the Stock Market[J].Journal of Changzhou University(Social Science Edition),2007,8(03):48-50.
点击复制

证券市场的模糊投资组合模型()
分享到：

常州大学学报(社会科学版)[ISSN:2095-042X/CN:32-1821/C]

卷:
第8卷
期数:
2007年03期
页码:
48-50
栏目:
出版日期:
2007-09-25

文章信息/Info

Title:
Fuzzy Portfol ioModel of the Stock Market
作者:
王　庆;  李　政
苏州市职业大学基础部, 江苏苏州215011
Author(s):
WAN G　Qing ;  LI　Zheng
Dept. o f Foundatio n, Schoo l of Suzhou Voca tional Univer sity , Suzhou, 215011, China
关键词:
投资组合;  模糊数;  线性规划;  加权因子
Keywords:
portfolio;  fuzzy number;  linear programming;  w eighted facto r
分类号:
F830. 91
文献标志码:
A
摘要:
投资组合的选择在实际中有着广泛的应用背景。自Mark ow it z的“投资组合的选择” 发表以来, 关于投资组合的选择问 题的研究引起了极大的关注, 并取得了丰硕的理论成果。结合模糊数的概念和线性规划的理论, 能够更加科学地给出证券的期望 收益, 并合理地考虑到投资者的具体情况, 从而为证券投资者的决策提供了一个新的途径。
Abstract:
Currently, the port folio selection has the ex tensiv ely applied background in practice. Since the release of Markowi tz 's“ Po rtfolio selection” , the research concerning po rtfolio selection causes the t remendous concern, and produces the plenteous theories. Combining the co ncept of the fuzzy number and the theories of line prog ramming, w e can estimate the expected profi t of stock certificate more scientifically , and ratio nally take the inv esto rs ' specific si tuation into consideration, thus provide a new path fo r the stock certificate inv estors ' decision- making.

参考文献/References:

[1] Bell, D. Ri sk return and utilit y [J] . Managem ent Science, 1995, 41 ( 1): 23. [2] Konno, H. and Yamazaki, H. Mean absolute deviation portf oli o optimi zation mo. del and it s applicati on t o Tokyo st ock market [J]. Management Science, 1991, 37 ( 5): 519. [3] Lucas, A. and Klaassen, P. et. al. Ext reme returns dow nside risk and optimal asset allocation [J] , Jou rnal of Portf olio Managemen t, 1998, 25 ( 1): 71. [4] Markowi tz, H. Portf olio sel ecti on [J] . Journal of Finance, 1952, 7 ( 1): 77. [5] Markow it z, H. Portf olio selection: effi cien t diversi fication of investmen ts [M]. Second Editi on , Basil Blackw ell, Cambridg e, Ma, 1991: 22. [6] Williams , J. O. Maximizing the probabi li ty of achieving investmen t goals [J]. Jou rnal of Porf oli o Management , 1997, 46 ( 1): 77. [7] 丁传明, 邹捷中. 最优投资组合模型研究[J]. 经济数学, 2002 ( 6): 1- 5.

备注/Memo

备注/Memo:
作者简介: 王　庆( 1979- ) , 男, 江苏扬州人, 讲师, 主要从事经济数学方法与模型研究。 　　　　　　李　政( 1960— ) , 男, 湖北襄樊人, 研究员。主要从事运筹学与数量经济学研究。
更新日期/Last Update: 2007-09-25