Fuzzy Portfolio Model Based On Preference And Yager Entropy

The problem of portfolio is a hot issue in the field of financial research.How to allocate investment funds to maximize returns and minimize risks is a problem that scholars have been studying.This thesis studies the investment portfolio from the aspects of investors’risk preference,liquidity requirements and investment risk reduction.The main research contents are as follows:(1)Considering different investors’ attitudes toward income and risk,after analyzing the probability mean,weighting the upper and lower likelihood mean values,and proposing the mean probability of preference with preference factors,which is used to clarify the fuzzy uncertainty such as fuzzy rate of return and risk value.The liquidity of securities is also an important factor affecting investment.The upper and lower limits of investment ratio are set based on the average turnover rate,the risk of portfolio investment is measured by semi-absolute deviation and the investment ratio constraint is established.The semi-absolute deviation portfolio model based on the mean probability of preference.The model is solved by Lingo software,and the corresponding optimal investment portfolio is obtained.The securities investment is taken as an example to empirically analyze the model.(2)Based on the intuitionistic fuzzy number,the non-subordinate degree and the hesitation degree are used to describe the fuzzy uncertainty of the object.The uncertain yield,risk value and turnover rate of the fuzzy portfolio are represented by the intuitionistic fuzzy number,and according to the definition of expected value of intuitionistic fuzzy number,the fuzzy uncertain return rate,risk value and turnover rate are defuzzified.In order to reduce investment risk,Yager entropy is used to construct investment proportion constraints and the optimal portfolio model with the goal of maximizing the income and minimizing the risk is established.The model is solved by Lingo software and the corresponding optimal investment portfolio is obtained.The validity of the model is illustrated by the example analysis.