| 基于证据理论的证券组合优化分析 |
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| 引用本文： | 朱厚任,朱卫东,杨善林. 基于证据理论的证券组合优化分析[J]. 合肥工业大学学报(自然科学版), 2005, 28(10): 1296-1298 |
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| 作者姓名： | 朱厚任 朱卫东 杨善林 |
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| 作者单位： | 合肥工业大学,管理学院,安徽,合肥,230009;安徽省委党校,管理学部,安徽,合肥,230022;合肥工业大学,管理学院,安徽,合肥,230009 |
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| 基金项目： | 国家自然科学基金资助项目(70171033)，安徽省自然科学基金资助项目(050460403) |
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| 摘 要： | 提出了一种基于证据理论的证券优化组合方法,解决了最优投资比例问题和最大组合收益问题;文章根据现有证据,构造出识别框架,并确定出基本可信度分配,然后由集函数过渡到点函数,求出单点似真度,经过归一化处理后,确定了令人满意的投资比例;最后比较了各种组合的收益大小,进而得出最优组合。
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| 关 键 词： | 证据理论 似真度 证券组合优化 |
| 文章编号： | 1003-5060(2005)10-1296-03 |
| 修稿时间： | 2005-01-06 |
Analysis of optimum securities portfolio based on evidence theory |
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| ZHU Hou-ren,ZHU Wei-dong,YANG Shan-lin. Analysis of optimum securities portfolio based on evidence theory[J]. Journal of Hefei University of Technology(Natural Science), 2005, 28(10): 1296-1298 |
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| Authors: | ZHU Hou-ren ZHU Wei-dong YANG Shan-lin |
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| Affiliation: | ZHU Hou-ren~ |
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| Abstract: | A method for optimizing the securities portfolio based on evidence theory is presented,which builds the best investment rate and the maximum portfolio returns.According to evidences which have been possessed,the frame of discernment is constructed and the basic probability assignment obtained.The single point plausibility is obtained based on the point function.Then a satisfying rate is determined after renormalization,and the optimum portfolio obtained after various returns are compared. |
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| Keywords: | evidence theory plausibility optimum securities portfolio |
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