计算机工程与应用2012，Vol.48Issue(12)：209-212,228,5.DOI:10.3778/j.issn.1002-8331.2012.12.044
双随机变量证券投资组合决策
Portfolio selection models with birandom returns
摘要
Abstract
Mean-variance models for portfolio selection are established by describing security returns as birandom variables. The mathematical expectation and variance of birandom variable are studied. The general computational expressions of mathematical expectation and variance of birandom variable are given. Thus the proposed models can be changed into their crisp equivalent ones when the security returns are chosen as some special birandom variables. The convexity of the models is discussed. The existence and uniqueness of the solutions to the models are verified. The feasibility of the methods is illustrated by an example.关键词
双随机变量/投资组合模型/双随机变量的方差/确定等价类Key words
birandom variable/ portfolio selection model/ variance of birandom variable/ deterministic equivalence分类
数理科学引用本文复制引用
闫立梅..双随机变量证券投资组合决策[J].计算机工程与应用,2012,48(12):209-212,228,5.基金项目
山东省科技攻关计划项目(No.2009GG20001029,No.2011YD01069) （No.2009GG20001029,No.2011YD01069）
山东省教育厅科研发展计划项目(No.J08LJ54). （No.J08LJ54）
