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随机性和模糊性是证券组合投资收益不确定性的两种表现形式,为了兼顾这两种不确定性因素对组合投资收益的影响,以模糊数的可能性均值作为证券组合投资收益的度量,以模糊数的可能性方差作为对证券组合投资未来风险的度量,建立新的基于可能性均值—方差的证券组合投资决策模型,并结合中国证券市场的具体情况给出该模型实际应用方法。实证分析的过程中,给出一种根据证券交易的历史收益数据获取模糊预期收益率的方法,该方法反映了证券收益率每个交易日的波动情况。
Randomness and fuzziness are two kinds of manifestation of the uncertainty of returns on portfolio investment. In order to balance the impact of these two uncertainties on portfolio investment returns, taking the mean value of fuzzy numbers as a measure of return on portfolio investment, Taking the variance of the likelihood of fuzzy numbers as a measure of the future risk of securities portfolio investment, a new portfolio investment decision model based on the mean-variance of likelihood is established, and the practical application of the model is given based on the actual situation of China’s securities market. In the process of empirical analysis, a method of obtaining the fuzzy expected rate of return according to the historical return data of securities trading is given. The method reflects the fluctuation of the return rate of securities on each trading day.