Portfolio Analysis - From Probabilistic to Credibilistic and Uncertain Approaches
Portfolio Analysis - From Probabilistic to Credibilistic and Uncertain Approaches
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DOI：
10.1007/978-3-642-11214-0
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发表时间：
2012-04
期刊：
影响因子：
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通讯作者：
Xiaoxia Huang
中科院分区：
文献类型：
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作者：
Xiaoxia Huang
投资组合是若干证券的组合。投资组合分析是一种在各种不确定环境下选择最优投资组合的定量方法，该方法可以在收益最大化和风险最小化之间取得平衡。要选择最优投资组合，首先必须回答“投资组合的收益是什么”和“投资组合的风险是什么”这两个问题。如果我们只能用“投资组合的可能收益”这样的自然语言来描述回报，用“投资组合的可能损失”来描述风险，我们就无法量化投资组合的回报和风险。那么就不可能比较投资组合的回报水平和风险水平，更不用说找到最大回报和最小风险了。为了使用可衡量的术语来定义回报和风险，我们应该从输入数据开始，即，个人安全返回。
A portfolio is a combination of a number of securities. Portfolio analysis is a quantitative method for selecting an optimal portfolio that can strike a balance between maximizing the return and minimizing the risk in various uncertain environments. To select the optimal portfolio, we must first answer the questions “what is return of a portfolio” and “what is risk of the portfolio”. If we could only use the natural language like “the likely gain of the portfolio” to describe return and “the likely loss of the portfolio” to describe risk, we would not be able to quantify return and risk of the portfolio. Then it would be impossible to compare the return level and risk level of portfolios, let alone find the maximum return and minimum risk. To use measurable terms to define return and risk, we should start with input data, i.e., the individual security returns.