模糊变量的相关性及其在投资组合中的应用.pdfVIP

1 1 ℄ 1.1 ÆÆ [1]  Cov(x, y) = E [(x − E(x))(y − E(y))] x y ℄ ℄ ℄℄ 0 0  - [2] [0, ±1]  1 -1 0 0 0  Æ    Zadeh[3] [4] 1965  1978  Dubois Prade[5] 1978 Nahmias[6]  Liu Liu[7] 2002  [8–10] Dubois Prade[11] Heilpern[12] Campos Gonzalez[13] 2002 Liu Liu[7]  2003 Hua[14]  Yu[15] Hung Wu[16] Wang[17]  1  Gao[18]   2003 Hua[14]  2002 Liu Liu[19]   [20]   Markowitz[21] ℄ - - ℄ [22] [23] [24,25] Æ - [26] [27] [28] Æ minmax Æ Caelsson[29]  Lin[30] Bilbao-Terol[31] Hao liu[32] Hao liu[33] - [34–36] Wang[17] 2009  1.2 ÆÆ   2  3  4  5 -   Æ 2 2 2  [9] 2.1 (Γ, A ) Pos A Pos  (1) Pos(φ) = 0 Pos(Γ) = 1 (2) A {A |i ∈ I} Pos( A ) = sup Pos(A ) I i i∈I i