[1]杨菊欢,郑唯唯,段博文.基于SVM-GRA-模糊熵的项目组合风险优化[J].深圳大学学报理工版,2016,33(6):586-592.[doi:10.3724/SP.J.1249.2016.06586]
 Yang Juhuan,Zheng Weiwei,and Duan Bowen.Optimization of portfolio risk based on SVM-GRA-fuzzy entropy[J].Journal of Shenzhen University Science and Engineering,2016,33(6):586-592.[doi:10.3724/SP.J.1249.2016.06586]
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基于SVM-GRA-模糊熵的项目组合风险优化()
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《深圳大学学报理工版》[ISSN:1000-2618/CN:44-1401/N]

卷:
第33卷
期数:
2016年第6期
页码:
586-592
栏目:
电子与信息科学
出版日期:
2016-11-20

文章信息/Info

Title:
Optimization of portfolio risk based on SVM-GRA-fuzzy entropy
文章编号:
201606006
作者:
杨菊欢郑唯唯段博文
西安工程大学理学院, 陕西西安 710048
Author(s):
Yang Juhuan Zheng Weiwei and Duan Bowen
College of Science, Xi’an Polytechnic University, Xi’an 710048, Shaanxi Province, P.R.China
关键词:
计算数学项目组合风险交互效应支持向量机灰色关联分析模糊熵
Keywords:
computational mathematics portfolio risk interactive effect support vector machine (SVM) grey relational analysis (GRA) fuzzy entropy
分类号:
O 29;F 272.3
DOI:
10.3724/SP.J.1249.2016.06586
文献标志码:
A
摘要:
针对交互效应下项目组合风险的不确定性和不对称性特点,构建项目组合风险优化模型.借助支持向量机筛选符合战略目标的项目,利用资源、技术及收益的三角模糊数及其熵值反应不确定性,采用灰色关联度刻画三维不对称交互效应,获得项目组合风险测度.基于模糊规划理论,得到满足期望收益下的项目组合风险优化策略,利用数值模拟验证了方法的有效性.
Abstract:
A novel project portfolio risk optimization model is proposed based on the uncertainty and asymmetry of the portfolio risk under interactive effects. Specifically, the projects in line with the strategic target are filtered using the support vector machine (SVM). The uncertainty is reflected by the triangular fuzzy number and entropy of portfolio’s resources, technology and benefits. In order to measure the portfolio risk, the three-dimensional asymmetric interactive effect is depicted by employing the grey relational degree. According to the fuzzy planning theory, the optimization strategy which satisfies the expected return of portfolio risk is obtained. Last, the effectiveness of the method is validated by utilizing numerical simulation, and the approach provides a powerful basis for policymakers to measure the portfolio risk and choose the appropriate project portfolio.

参考文献/References:

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备注/Memo

备注/Memo:
Received:2016-05-23;Accepted:2016-09-21
Foundation:National Natural Science Foundation of China (71272049)
Corresponding author:Professor Zheng Weiwei.E-mail: zww@nwpu.edu.cn
Citation:Yang Juhuan, Zheng Weiwei, Duan Bowen. Optimization of portfolio risk based on SVM-GRA-fuzzy entropy[J]. Journal of Shenzhen University Science and Engineering, 2016, 33(6): 586-592.(in Chinese)
基金项目:国家自然科学基金资助项目(71272049)
作者简介:杨菊欢 (1991—),女,西安工程大学硕士研究生.研究方向:计算数学.E-mail:1127354462@qq.com
引文:杨菊欢,郑唯唯,段博文.基于SVM-GRA-模糊熵的项目组合风险优化[J]. 深圳大学学报理工版,2016,33(6):586-592.
更新日期/Last Update: 2016-10-31