基于模糊值损益证券的期望效用优化分析OACSTPCD
Analysis of expected utility maximization on securities with fuzzy valued payoffs
对由具有模糊值损益证券所构成市场中的期望效用优化问题进行了分析。在分析中使用了加权期望效用模型度量模糊值财富对应的期望效用，提出了模糊意义下的套利概念，证明了最优投资组合存在当且仅当市场不存在模糊意义下的套利机会，重点讨论了最优投资组合的性质，并利用最优组合描述了资产的当前价格。
The problem of maximizing the expected utility is analyzed in a market,where assets are modeled by their fuzzy valued payoffs.The weighted expected utility model is used for analysis and discussion.A concept of arbi⁃trage in fuzzy sense is proposed.It is proved that the optimal portfolio exists if and only if the market has no arbitrage in fuzzy sense.Properties on the optimal portfolio are discussed,among which current prices of assets can be ex⁃pressed by …查看全部>>
尤苏蓉;许婧
东华大学 理学院，上海，201620东华大学 理学院，上海，201620
数理科学
效用优化加权期望效用模糊数
utility maximizationweighted expected utilityfuzzy number
《南京信息工程大学学报》 2016 (6)
560-565,6
中央高校基本科研业务费专项资金（15D110906）
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