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投资组合理论是现代化投资管理活动的理论支持,广泛应用于证券投资领域.将模糊集理论与投资组合理论相结合,建立基于可能性理论和机会测度的投资组合模型,并用混合智能算法对模型求解.选取上证50指数成分股近两年的交易数据对模型进行实证分析.结果显示,模型构建的投资组合收益率优于经典模型收益率和上证50指数同期收益率,模型显著有效.
Portfolio theory is the theoretical support of modern investment management activities and is widely used in securities investment field.With the combination of fuzzy set theory and portfolio theory, a portfolio model based on probability theory and opportunity measure is established, and the hybrid intelligent algorithm is used to solve the model The empirical analysis of the model based on the trading data of the constituent stocks of the SSE 50 Index for the past two years shows that the yield of the portfolio constructed by the model is superior to the return of the classical model and the SSR 50 index, and the model is significant and effective.