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出版者:Springer

作者:Yong Fang

出品人:

页数:186

译者:

出版时间:2009-2-22

价格:GBP 96.00

装帧:Paperback

isbn号码:9783540779254

丛书系列:

图书标签:

投资组合优化
模糊数学
金融工程
风险管理
决策分析
运筹学
量化金融
不确定性
优化算法
投资策略

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具体描述

This is the first monograph on fuzzy portfolio optimization. By using fuzzy mathematical approaches, quantitative analysis, qualitative analysis, the experts' knowledge and the investors' subjective opinions can be better integrated into portfolio selection models. The contents of this book mainly comprise of the authors' research results for fuzzy portfolio selection problems in recent years. In addition, in the book, the authors introduce some other important progress in the field of fuzzy portfolio optimization. Some fundamental issues and problems of portfolio selection have been studied systematically and extensively by the authors to apply fuzzy systems theory and optimization methods. A new framework for investment analysis is presented in this book. A series of portfolio selection models are given and some of them are more efficient for practical applications. Some application examples are given to illustrate those models.

作者简介

目录信息

Front Matter....Pages I-IX
Survey for Portfolio Selection Under Fuzzy Uncertain Circumstances....Pages 3-15
Fuzzy Decision Making and Maximization Decision Making....Pages 19-20
Portfolio Selection Model with Fuzzy Liquidity Constraints....Pages 21-43
Ramaswamy’s Model....Pages 45-47
León-Liern-Vercher’s Model....Pages 49-61
Fuzzy Semi-absolute Deviation Portfolio Rebalancing Model....Pages 63-77
Fuzzy Mixed Projects and Securities Portfolio Selection Model....Pages 79-89
Linear Programming Model with Interval Coefficients....Pages 93-106
Quadratic Programming Model with Interval Coefficients....Pages 107-114
Tanaka and Guo’s Model with Exponential Possibility Distributions....Pages 117-129
Carlsson-Fullér-Majlender’s Trapezoidal Possibility Model....Pages 131-141
Center Spread Model in Fractional Financial Market....Pages 143-152
Fuzzy Index Tracking Portfolio Selection Model....Pages 155-161
Back Matter....Pages 163-176
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