| 基于加权可能性均值和方差的投资组合选择的一个注记 |
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| 引用本文： | 颜燕梅,王达布希拉图.基于加权可能性均值和方差的投资组合选择的一个注记[J].广州大学学报(自然科学版),2007,6(4):15-18. |
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| 作者姓名： | 颜燕梅 王达布希拉图 |
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| 作者单位： | 广州大学,数学与信息科学学院,广东,广州,510006 |
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| 摘 要： | 本注记运用传统的方法针对模糊数提出一个新的加权可能性方差,有别于由Robert Fuller和Peter Ma-jlender提出的以算术平均值与其水平集端点的偏差的平方期望值作为可能性方差,并将其应用于二次效用函数的投资组合选择中.
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| 关 键 词： | 投资组合选择 模糊数 可能性均值和方差 |
| 文章编号： | 1671-4229（2007）04-0015-04 |
| 修稿时间： | 2006-11-232006-12-20 |
A note on portfolio selection based on weighted possibilistic mean and variance |
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| YAN Yan-mei,WANG Dabuxilatu.A note on portfolio selection based on weighted possibilistic mean and variance[J].Journal og Guangzhou University:Natural Science Edition,2007,6(4):15-18. |
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| Authors: | YAN Yan-mei WANG Dabuxilatu |
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| Institution: | School of Mathematics and Information Sciences, Guangzhou University , Guangzhou 510006, China |
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| Abstract: | This note is to propose a novel weighted possibilistic variance of fuzzy numbers by conventional variance method,which is different from the variance proposed by Robert Fuller and Peter Majlender,the expected value of the squared deviations between the arithmetic mean and the endpoint of its level sets.It is applied to portfolio selection with quadratic utility function. |
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| Keywords: | portfolio selection fuzzy number possibilistic mean and variance |
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