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中文摘要：
在证券市场，由于各种不确定因素的存在，证券的预期收益率是难以精确估算的。本文采用模糊数来处理不确定性，提出了一种基于模糊收益率的投资组合模型。为度量投资组合的风险，将绝对偏差扩展到模糊情形。通过引入模糊数绝对值的概念和不等关系的两种占优准则，将该模型转化为相应的确定性线性规划问题，投资者可根据自己的主观态度选择参数和投资策略。最后用一个具体例子验证了模型的合理性和有效性。
英文摘要：
In securities markets, the expected rates of security returns are difficulty to estimate precisely due to many uncertainties. In this paper, we use fuzzy numbers to deal with the uncertainty. A new portfolio selection model with fuzzy coefficients is proposed. In this model we extend absolute deviation to a fuzzy case to measure the risk of portfolio. Different dominance criteria are used to transform the portfolio selection model to its equivalent deterministic-crisp linear programming problem. An example is given to illustrate that the new models can be used efficiently to solve portfolio selection problems.
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