【摘要】 针对决策者在进行项目选择投资时各种自然状态发生概率的不确定性,提出并讨论了模糊状态概率下的组合投资决策问题。通过对状态集合上模糊概率评价的一致性进行分析,运用与模糊概率评价相对应的一个有效概率分布,给出了模糊状态概率下组合投资策略的期望收益率和风险的表示方法,在此基础上建立了组合投资的多目标决策模型,并给出了其求解过程。最后,给出了一个数值例子,结果表明:方法合理、有效,易于实现。更多还原

【Abstract】 Considering the uncertainty of the probabilities of events in the project selection process, the decision making problem of investment combination with fuzzy state probability is proposed and investigated. By analyzing the consistency of the fuzzy probability assessment over the state set and using an effective probability distribution, a method for obtaining the expected return and risk of investment combination strategy in the face of fuzzy state probability is presented. The multiobjective model for decision making of investment combination is then constructed, and its solving process is given. At last, a numerical example is provided to illustrate the proposed method. The result shows the approach is reasonable, effective and easy to implement.更多还原