运筹与管理2016，Vol.25Issue(1)：166-174,9.DOI:10.12005/orms.2016.0022
考虑投资者风险态度的随机模糊投资组合模型及实证
Empirical Study of Random Fuzzy Portfolio Model with Different Investor Risk Attitudes
摘要
Abstract
As investors face the uncertainty of randomness and fuzziness simultaneously in stock market , the paper defines the security returns as random fuzzy variables .Based on the prospect theory and investors ’ psycho-logical trait, a random fuzzy portfolio model with different investor risk attitudes is proposed by constructing different random fuzzy returns , target weights and membership functions of expected return .Under the decline and rise stages of stock market , the differences of portfolios for investors with different risk attitudes and the performan ce of the proposed model are empirically studied .The results show that the risk attitudes of investors can affect the structures of portfolios , and the proposed model is viable in practice and can be used to construct portfolios which meet the need of investors with different risk attitudes .关键词
金融工程/投资组合模型/随机模糊数/风险态度/前景理论Key words
financial engineering/portfolio model/random fuzzy number/risk attitude/prospect theory分类
管理科学引用本文复制引用
刘家和,金秀,苑莹..考虑投资者风险态度的随机模糊投资组合模型及实证[J].运筹与管理,2016,25(1):166-174,9.基金项目
国家自然科学基金（71571041，71571038，71473033）；中央高校基本科研业务费资助 （）
