摘要
Inmostexitingportfolioselectionmodels,securityreturnsareassumedtohaverandomorfuzzydistributions.However,uncertaintiesexistinactualfinancialmarkets.Marketsareassociatednotonlywithinherentrisk,butalsowithbackgroundriskthatresultsfromthedifferencesamongindividualinvestors.Thispaperinvestigatedthecomplianceofstockyieldstothefuzzy-naturedhigh-ordermomentsofrandomnumbersinordertodevelopahigh-momenttrapezoidalfuzzyrandomportfolioriskmodelbasedonvariance,skewness,andkurtosis.DataobtainedfromtheShanghaiStockExchangeandShenzhenStockExchangewasusedtoassesstheinfluenceontheproposedmodelofbothbackgroundriskandthemaximumlevelofsatisfactionoftheportfolio.Theempiricalresultsdemonstratedthatthedifferencesbetweenthemaximumandminimumvariance,skewness,andkurtosisvaluesoftheportfoliowerepositivelycorrelatedwiththevarianceofthebackgroundrisk.
出版日期
2018年01月11日（中国期刊网平台首次上网日期，不代表论文的发表时间）
