Research on Methods of Fuzzy Portfolio Selection with Limited Number of Securities

这项研究已经进行了三年。我们对前两项研究中明确并遗留下来的问题的解决方案进行了开发，并获得了以下结果。1)第一、二研究年对投资专家的访谈表明，在决策中体现专家的投资判断是很重要的。2)特别是，我们成功地在模糊投资组合模型中引入了投资专家的期望水平。3)作为本研究的主要目标，我们开发了模糊模型，使我们能够从庞大的股票市场中选择有限数量的股票作为结果。由于股票交易容易扰乱股票市场，我们应该考虑到交易费用。最好选择与以前的组合模式相比变化最小的组合模式。我们提出的模型使我们能够以最小的变化选择投资组合。5)在投资组合选择的玻尔兹曼机模型中，期望收益与风险之间的权重调整可以根据高风险、高期望收益策略对低风险、低期望收益策略的偏好而变化。6)此外，我们建立了分层玻尔兹曼机模型，使我们能够选择有限数量的股票。该模型将在1999年8月的国际模糊系统会议上发表。)通过开展上述研究，我们还获得了以下结果。我们还建立了玻尔兹曼机的方法来有效地解决投资组合选择问题。8)作为这些应用，我们通过玻尔兹曼机对分层投资策略进行了建模。资金流入国际股票市场。

This research has been pursued and accomplished for three years. We have worked on developing the solutions of problems cleared and remained in the two previous researches and have obtained the following results.1)The interviews with experts on investment in the first and second research years cleared that it is important to reflect the judgment obtained from experts on investment on the decision-making.2)Especially, we successfully imprinented expectation level of invest experts in the model of fuzzy portfolio selection.3)As the main objective of this research, we developed the fuzzy model that can enable us to select the limited number of stocks out of huge stock market as the result.4)As dealing of stocks easily disturbs the stock market and we should take the dealing fee into consideration. it is preferred to select portfolio pattern that has minimum changes from the previous portfolio pattern. We proposed the model that enables us to select portfolio with minimum changes.5)In the Boltzmann Machine Model of portfolio selection, the adjustment of the weight between expected return and risk can be changeable according preference of strategy with high risk and high expected return to strategy with low risk and low expected return.6)Furthermore, we modeled the hierarchical Boltzmann Machine that enables us to select the limited number of stocks. This model will be presented at the international conference of fuzzy system in August 1999.7)We also obtained the following results by developing the above-mentioned research. We have also bui It the approach of the Boltzmann Machine's to solving effectively and efficiently a portfolio select ion problem.8)As these applications, we have modeled a hierarchical investment strategy by a Boltzmann Machine to invest.money in the international stock market.