作　　者： ; ;

机构地区： 天津大学理学院数学系

出　　处： 《系统工程与电子技术》 2000年第11期62-65,共4页

摘　　要： 在分析Markowitz风险测度下的组合证券投资模型所存在的复杂计算问题的基础上 ,利用特征曲线 ,提出了以 β系数为风险度量的组合投资模糊最优化模型 ,从而大大地简化了计算 ,为投资决策提供了方便。所给出的投资模型充分反映了系统风险和非系统风险对组合投资的不同影响 ,便于我们对投资风险进行分析。 In this paper, based on the basic analysis of complicated calculation of portfolio model under Markowitz′s variance risk measure, characteristic curve is used to raise the fuzzy optimization model of portfolio selection which β coefficient is a risk measure. It makes the calculation of model become simple greatly, and makes investment policy convenient for the investor. The investment model in the paper shows the different influence of system risk and non-system risk for portfolio selection, and makes analysis of investment risk convenient for the people. At last, an illustration is given to show their application.

关 键 词： 风险评估 投资决策 特征曲线 最优投资模型

领　　域： [经济管理]