工业工程

工业工程 ›› 2011, Vol. 14 ›› Issue (3): 66-69.

• 专题论述 • 上一篇    下一篇

存在融资的模糊决策投资组合模型的研究及应用

  

  1. 华南理工大学 工商管理学院，广东 广州 510640
  • 出版日期:2011-06-30 发布日期:2011-07-08
  • 作者简介:吴锦桂（1984-），女，江西省人，硕士研究生，主要研究方向为投资分析与风险管理.

Analysis and Application of the Investment Portfolio Model with Financing Based on Fuzzy Decision Theory

  1. School of Business Administration, South China University of Technology，Guangzhou 510640,China
  • Online:2011-06-30 Published:2011-07-08

摘要：  利用应用效果较好的均值-半偏差投资组合模型对存在融资情况的投资组合进行分析研究。将存在融资情况的均值-半偏差模型的收益和风险目标进行模糊化,并构造了使用较多且效果佳的线性隶属度函数μmax(x)和μmin(x)。运用模糊决策理论引进变量μ将模糊环境下存在融资的双目标模型转化为线性的基于模糊决策存在融资的投资组合模型。本模型不仅简化了模型的计算量，同时也将投资者的主观投资意愿表示清楚。最后通过实例说明了模型的实用性和有效性。  

关键词: 均值-半偏差投资组合模型, 隶属度函数, 模糊决策, 融资  

Abstract: The effective mean-semi-deviation portfolio model is used for the analysis of the investment portfolio with financing in this paper. First, the gain obtained by the mean-semi-deviation model with financing and the risks of the goal are described in a fuzzy way by constructing the linear membership functions μmax(x) and μmin(x), which are widely used. Then, based on fuzzy decision theory, variable μ is introduced to transform the biobjective model with financing under fuzzy environment into a linear portfolio selection model with financing. This model not only greatly simplifies the computation, but also clearly describes the subjective investment willingness of the investors. Finally, an example is presented to illustrate the applicability and effectiveness of the proposed model.

Key words: the mean-semi-deviation portfolio model, membership function；fuzzy decision；financing