The Empirical Study And Analysis Of Portfolio Model Based On Interval Number

This dissertation established a rate of return and risk expected loss rate of interval fuzzy number of the securities portfolio model which based on literature studies, through the introduction of risk factor a and objective function optimization level parameterβto simplify the interval-based multi-objective linear programming model. Investors can estimate model to select the parameter according to which degree of risk preferences and investment trend of the market's optimism. This model increases flexibility in decision-making, but the psychology of investors is also taken into account. Finally, according to Chinese Shanghai Stock Exchange's 20 listed stocks, the model is given the empirical results. Dissertation selected the exponential and smoothing method using 20 stocks' week rates of the 52 weeks to determine the expected rate of return interval values and used a multi-objective fuzzy interval number linear programming model to derive the optimal portfolio allocation. Afterwards, I discuss the model in question of the practicality of the Chinese investment market.The main works is summarized as follows:In the first chapter it firstly introduced the development of Chinese securities market, the concept of securities and investment theory and the development of the theory of fuzzy decision, which is base on these situations to described the dissertation's research background and research significance, and summarized domestic and foreign portfolio decision theories, models and algorithms of major research achievements.The second chapter reviewed and explained the main theories for the article, including a fuzzy-based portfolio model, modern decision theory of multi-attribute decision-making and of multi-objective decision theory and method, interval number theory and single forecast methods.The third chapter introduced interval number of the securities portfolio model based on the Markowitz M-V model theory, and gave kind of interval fuzzy number linear programming model portfolio. Then, the interval number of the securities portfolio model is converted into the general linear programming by introducing the coefficient of risk preferences and the level of objective function optimization method of the model parameters.The fourth chapter made the model analysis. The data processing using exponential smoothing forecast is a more scientific method to obtain the expected return rate of interval fuzzy numbers. In addition, the chapter solved the model results are given to prove the validity of the model.The fifth chapter summed up full text job, and described the text's weaknesses and future research prospects.