[1]孙冲,吴天庆,王虹.基于预测理论的投资组合选择模型的研究[J].延边大学学报(自然科学版),2020,46(03):198-202.
SUN Chong,WU Tianqing,WANG Hong.Study of portfolio selection model based on prediction theory[J].Journal of Yanbian University,2020,46(03):198-202.
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SUN Chong,WU Tianqing,WANG Hong.Study of portfolio selection model based on prediction theory[J].Journal of Yanbian University,2020,46(03):198-202.
基于预测理论的投资组合选择模型的研究
《延边大学学报(自然科学版)》[ISSN:1004-4353/CN:22-1191/N]
卷:
第46卷
期数:
2020年03期
页码:
198-202
栏目:
基础科学研究
出版日期:
2020-09-20
- Title:
- Study of portfolio selection model based on prediction theory
- 文章编号:
- 1004-4353(2020)03-0198-05
- Keywords:
- overall GM(1; 1)prediction model; interval number; acceptability degree; single objective programming model
- 分类号:
- F832
- 文献标志码:
- A
- 摘要:
- 为提高股票未来价格和流动性的度量精度,构造了一种区间模糊数的整体GM(1,1)预测模型.首先,利用整体GM(1,1)预测模型构造了模糊区间数; 然后,基于区间模糊数建立了模糊M -V模型,并基于区间数的中点、半径以及可接受度对模型进行了优化,以此得到了含有参数的单目标规划模型.最后,通过实例分析证明了模型的有效性.
- Abstract:
- In order to improve the measurement accuracy of stock future price and liquidity, an overall GM(1,1)prediction model based on interval fuzzy numbers is constructed. Firstly, the fuzzy interval number is constructed by using the overall GM(1,1)prediction model. Secondly, a fuzzy M -V model is established based on interval fuzzy numbers, and the model is optimized based on the midpoint, radius and acceptability of interval numbers to obtain a single objective programming model with parameters. Finally, the validity of the model is proved by an example analysis.
参考文献/References:
[1] MARKOWITZ H. Portfolio selection[J]. Journal of Finance, 1952(1):77-91.
[2] ZADEH L A. Fuzzy sets[J].Information and Control, 1965,8(3):338-353.
[3] 房勇,汪寿阳.基于模糊决策的投资组合优化[J].系统科学与数学,2009,29(11):1517-1526.
[4] 李婷,张卫国,徐维军.考虑背景风险因素的模糊投资组合选择模型[J].系统工程,2012,30(12):33-38.
[5] 孙冲,侯为波,孙敏.基于模糊数对股票投资组合选择模型有效前沿的动态分析[J].延边大学学报(自然科学版),2017,43(2):154-157.
[6] 曾祥艳,舒兰.基于灰模型的区间模糊数时间序列预测[J].数学的实践与认识,2015,45(5):55-63.
[7] 孙冲,陈亚楠,班闪,等.基于整体预测模型对投资组合选择模型的研究[J].洛阳师范学院学报(自然科学版),2019,28(8):55-58.
[8] 杨纶标,高英仪.模糊数学原理及应用[M].广州:华南理工大学出版社,2005.
[9] 李婷.考虑背景风险因素的可能性投资组合选择模型的研究[D].广州:华南理工大学,2013:23-28.
[10] 王建建,何枫,吴子轩,等.改进区间可接受度的股票投资组合区间二次规划模型[J].中国管理科学,2018,26(9):11-18.
备注/Memo
收稿日期: 2020-07-02
作者简介: 孙冲(1988—),男,助教,研究方向为金融风险.
更新日期/Last Update:
2020-09-20