导　　师： 肖辞源

学科专业： 070104

授予学位： 硕士

作　　者： ;

机构地区： 西南石油大学

摘　　要： 本文围绕组合投资决策过程的两个核心问题一如何获取预期收益率和进行风险的估计,从事物的模糊性角度出发,进一步研究与模糊收益率相关的信息的获取、表示方法,从多个角度探讨了在组合投资决策中,使用模糊性理论进行建模的方法。具体来说,本文主要作了以下的研究工作： /(1/)从实际应用的角度出发,研究结合领域专家的意见获取风险资产预期收益率的三种方法。第一,利用专家的经验知识和所掌握的信息,通过咨询,有该领域的专家对风险资产预期收益率给出相应的区间判断,再经过集值统计的方法进行综合集成,从而得到表示预期收益率的方法。第二,在采集了领域专家对风险资产的预期收益率的模糊数判断信息以后,对判断信息进行综合处理,提出了模糊判断信息的平均数指标,研究了一般的模糊数平均数指标的计算方法,并且给出了几类特殊的模糊数平均数指标的计算公式。这两种方法的特点是可操作性比较强,并能消除不同专家在作出判断时可能产生的片面性和偏差,充分发挥出专家群体的经验和智慧。第三,以风险资产的历史数据作为投资者的不完全信息,将风险资产的历史数据与专家的经验判断结合起来,有领域专家对每一个隶属数据做出可能性程度的判断,并以其作为样本点,给出了根据最佳贴近样本点这一准则获取预期收益率的可能性分布的方法。 /(2/)采用时间序列的预测方法,研究了模糊信息的时间序列预测问题,通过模糊数空间中的距离,建立了在模糊环境中对应的最小二乘回归模型,证明了回归模型解得存在性和唯一性,给出了确定模型模糊参数的计算公式,提出了从整体上测定模糊观测值在回归方程周围分散程度的估计标准误差,推导了计算估计标准误差的算式,并利用贴近度指标评价了单个序列值的拟合优劣程度。本� The research object for portfolio selection is a complex system, in which people's thinking and judgment are needed to make decision. It is inevitable to relate to the processing of uncertain information because of the complexity of the problems themselves, the vagueness in people's thinking and judgment, and the influence of various uncertain factors existing in boundary environment around the systems. After the review of the development of portfolio selection theories, considering the case in which fuzziness must be treated, this paper concentrates on two core problems of the decision process from the angle of fuzziness, one is the acquirement of anticipation profit rate and another is the estimate of risk, and discusses the techniques for modeling the portfolio selection with fuzzy information. Concretely, this paper concludes the following main results: /(1/)Three kinds of methods for acquiring anticipation profit rate based on experts' judgment are presented. The first one is the method of interval judgment, in which the judgment intervals for anticipation profit rate are gathered and processed by using expert's experience and the information they mastered. The second one is the average synthetic method. The experts' judgment is given as fuzzy number, and the average index is presented for synthesizing the experts' judgment. The method presented here is strongly maneuverable and can dissolve the deviation in judgment from different experts. The third one takes the historical data of assets as incomplete information and models the anticipation profit rate as possibility distribution by combining the historical data with experts' judgment. Since the experts' knowledge in actual investment is very important. It is more suitable for using possibility grade, interval judgment and fuzzy number to reflect the experts' judgment. /(2/)The fuzzy time series forecasting technique is developed to model the anticipation profit rate. Similar to traditional least squares, the fuzzy analogue by the distance defined

关 键 词： 组合投资分析 模糊时间序列 多元回归 预期收益率

领　　域： [经济管理] [经济管理]