模糊投資組合分析- 模糊報酬與模糊投 資比例的探討

Fuzzy Portfolio Analysis with Fuzzy Returns and Fuzzy Investment Proportion

廖文督(Wen-Du Liao)

指導教授 ： 曹銳勤

淡江大學/管理學院/管理科學研究所碩士班/碩士(2011年)

https://doi.org/10.6846/TKU.2011.00876

摘要

本研究在探討投資者在一個既有的投資組合中，個股投資比例呈現不確定的狀態。首先，本研究從可行性的平均標準差模型，來探討在既有的投資組合中，如何解決個股投資比例的問題。接下來，在既有投資組合中的個股的投資比例的不確定性，將會被視為模糊數，並且會在本研究中被公式化和提出一些可行解。 最後，本研究會沿用一個實例來描述如何用提出的公式來幫助投資者解決在既有的投資組合下，如何分配自有資金進行個股投資比例上的調整的相關問題。

關鍵字

投資組合理論 ； 模糊理論 ； 演進過程 ； 可能性平均值- 標準差模型

並列摘要

In this paper, the fuzzy portfolio will be discussed due to uncertainty of proportion invested in each selected security in a portfolio. The paper will discuss how to solve the portfolio problem about investment proportion of each selected security based on possibilistic mean-standard deviation models. Then, the uncertain investment proportion of each chosen security in the portfolio will be regarded as a fuzzy number and also be formulated and proposed in this paper, showing how the portfolio selection problem will be solved. Finally, a numerical example of a portfolio selection problem will be shown to illustrate how to deal with it by the mean and the approach the paper presents.

並列關鍵字

portfolio theory ； fuzzy theory ； the evolution ； possibilistic mean-standard models

參考文獻

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