投资组合模型 考虑投资者的正常不确定的偏好关系
Yu Zhou1, Chun Yan1, Xiangrong Wang1
1College of Mathematics and Systems Science, Shandong University of Science and Technology, Qingdao 266590, China.
Entropy (Basel, Switzerland)
|June 26, 2025
概括
本研究将不确定性理论应用于投资组合决策,开发不确定的偏好模型. 拟议的模型通过在不确定的市场中最大化回报和最小化风险来增强财务决策.
科学领域:
- 金融 金融 金融 金融 金融
- 决策理论 决策理论
- 数学经济学数学经济学
背景情况:
- 传统的投资组合理论通常假设可预测的市场条件.
- 金融市场本质上是复杂的,且存在不确定性.
- 有效的决策需要考虑不确定性的模型.
研究的目的:
- 将不确定性理论应用于投资组合决策.
- 构建基于不确定的偏好关系的投资组合模型.
- 在不确定的金融环境中开发合理决策的方法.
主要方法:
- 介绍了不确定性理论,包括不确定度和正常不确定分布.
- 建立在马科维茨投资组合理论的基础上.
- 提出了一个不确定的偏好关系优先级模型,具有机会约束.
- 开发了一个附加一致性投资组合模型.
主要成果:
- 经验分析验证了拟议模型的可行性.
- 这些模型展示了最大化投资回报的优势.
- 这些模型在尽量减少金融风险方面表现出有效性.
- 在不确定性下促进理性决策.
结论:
- 不确定性理论为投资组合优化提供了一个强大的框架.
- 开发的模型为导航不确定的金融市场提供了实用工具.
- 这种方法有效地平衡了复杂环境中的风险和回报.
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