摘要
通过建立证券价格为梯形模糊数的模糊时间序列预测证券价格,并以预测值与购买价格的比值衡量投资收益,以预测收益低于期望值的半绝对偏差计量投资风险,建立二目标投资规划模型,采用折中规划的方法求解,与均值-绝对偏差模型投资组合效果进行对比.对15只上证50指标股进行实证分析表明:折中规划可以根据市场的运行趋势进行投资决策,并且可以避免均值-绝对偏差二目标规划在严格数据约束下的无效解问题.
A fuzzy time series is set up to forecast the securities price, which is a trapezoidal fuzzy number, and the forecasting of return on investment is measured in the ratio of forecasted value to purchasing price of securities. The model is solved by compromise programming based on the double-object model and compared with the effect of portfolio in terms of mean-absolute deviations. An empirical analysis is therefore made for 15 stocks picked out from SSE 50 indexing stocks. The results revealed that the compromise programming is available for decision-making of investment in accordance to the market quotation trend. The compromise programming also avoids the invalid solution to the problem that the double-objective model in terms of mean- absolute deviations under strict restriction on data.
出处
《东北大学学报（自然科学版）》
EI
CAS
CSCD
北大核心
2009年第6期901-904,共4页
Journal of Northeastern University(Natural Science)
基金
国家自然科学基金资助项目(70871022)
关键词
模糊时间序列
梯形模糊数
半绝对偏差函数
折中规划
fuzzy time series
trapezoidal fuzzy number
semi-absolute deviation function
compromise programming
