关键词: 双随机变量, 投资组合模型, 双随机变量的方差, 确定等价类

Abstract: Mean-variance models for portfolio selection are established by describing security returns as birandom variables. The mathematical expectation and variance of birandom variable are studied. The general computational expressions of mathematical expectation and variance of birandom variable are given. Thus the proposed models can be changed into their crisp equivalent ones when the security returns are chosen as some special birandom variables. The convexity of the models is discussed. The existence and uniqueness of the solutions to the models are verified. The feasibility of the methods is illustrated by an example.

Key words: birandom variable, portfolio selection model, variance of birandom variable, deterministic equivalence