基于三角型模糊数理论的组合投资决策研究

基于三角型模糊数理论提出一种新的组合投资决策算法。首先应用三角型模糊数描述股票的价格变化过程,采用三角型模糊数的均值面积来表示相应价格信息;然后结合投资者的具体效用函数,并假设投资收益近似服从正态分布,获得其期望效用函数;最后根据Markowitz的均值-方差模型结论确定最优组合投资收益,从而确定投资者的最优组合投资比例。该算法简洁实用,便于操作,通过给出具体应用算例说明了该算法是行之有效的。

Research on Portfolio Investment Decision-making based on Triangular Fuzzy Number Theory

In this paper, one new portfolio investment decision-making algorithm is proposed according to the triangular fuzzy number theory. Firstly, in the security portfolio investment progress, the triangular fuzzy number is used to express the security price changing process. Secondly, the mean area of the triangular fuzzy number is adopted to express the security price information. Thirdly, combining with the investor’s specific utility function, and supposing that the investment return approximately obeys the normal distribution, the investor’s expectation utility function can be determined. Finally, according to the conclusion of Markowitz’s Mean-Varianc Model, the optimal portfolio investment return can be got, and the optimal portfolio investment proportion can be determined. This algorithm is concise, practical and easy to operate. In the last, an illustrative example is given to prove that the decision-making algorithm proposed in the paper is feasible and valid.