Font Size: a A A

Two Models Of Portfolio Selection Under Fuzzy Condition

Posted on:2005-04-11Degree:MasterType:Thesis
Country:ChinaCandidate:Y GeFull Text:PDF
GTID:2156360152955342Subject:Applied Mathematics
Abstract/Summary:PDF Full Text Request
The study of investment and financing decision-making in captial market attract everyone's attention after the naissance of portfolio investment theory and take a rapid development.Using mathematics, Harry M.Markowitz, the economics Nobel Laureate in 1990, expressed strictly the saying " don't put eggs in one basket " with scientific words, upbuilt the conception and theory of portfolio optional, and found operable method in computer, so, the foundation of portfolio selection was founded. William Sharpe brought Markowitz's theory forward and advanced Capital Asset Pricing Model (CAPM). Purtherly, using coefficient β to measure system risk of the firm, he established connection between negotiable securities expected return rates and its β coefficient, laid a foundation of investment, upgraded the study of portfolio selection to a new highness, as a result, CAPM become a important analysis method of finance risk investment.Miller and Modigliani set up a theory about financing decision-making MM theory to research finance leverage and corporation merit and to guide corporation makeing decision about financing.In fact we can't describe accurately the character of captial firmly because of many dubious factors in negotiable securities market. So we give a estimate for captial expectation yield and use fuzzy number to describe its expected return rates, which make the model more significant.In this paper we focus on two fuzzy-linear program models of portfolio investment in which expected return rates is fuzzy numbers.Firstly, using thesatisfaction of constraints of symmetry triangle fuzzy number and assuming the risk is not bigger than a given number,we selecte a investment proportion to make return rate maximal. Secondly, we discuss, when return rates is a given number, how to make decision on restriction borrowing rate with superior assets for firms to make risk minimal. Furthermore, when borrowing rates vary, how to change its investment proportion.
Keywords/Search Tags:Fuzzy Number, Portfolio, Satisfaction of Constraints, Superior Assets, Fuzzy Programming
PDF Full Text Request
Related items