摘要
投资组合理论是现代化投资管理活动的理论支持,广泛应用于证券投资领域.将模糊集理论与投资组合理论相结合,建立基于可能性理论和机会测度的投资组合模型,并用混合智能算法对模型求解.选取上证50指数成分股近两年的交易数据对模型进行实证分析.结果显示,模型构建的投资组合收益率优于经典模型收益率和上证50指数同期收益率,模型显著有效.
Portfolio theory is a theoretical support of modern investment management activities, which is widely used in the field of securities investment. The articles combine the fuzzy set theory and portfolio theory and establish portfolio model based on the probability theory and opportunity theory, then find out the solving method by using hybrid intelligent algorithm. This article made empirical analysis with two years transaction data set of the SSE50 Index constituent stocks. The results show that： the model is better than the classical model and the portfolio yield superior to the SSE 50 Index over the same period, so the model was significantly effective.
作者
缪晖
胡永宏
钟睿
MIAO Hui HU Yong-hong ZHONG Rui(Tianjin Product Quality Inspection Technology Research Institute, Tianjin 300384, China School of Statistics and Mathematics, Central University of Finance and Economics, Beijing 100081, China College of Earth Science, University of Chinese Academy of Sciences, Beijing 100049, China)
出处
《数学的实践与认识》
北大核心
2016年第24期22-32,共11页
Mathematics in Practice and Theory
基金
国家自然科学基金(61272193)
