The key to the portfolio investment optimization is how to select a type of the more satisfying investment portfolio,and then to achieve it with the most efficient collocation between risk and return. L-R uzzy number is used to depict one stockg expected rate of the return and the risk rate, and builds up a fuzzy linear programming model on the portfolio investment ,trying to optimizate the portfolio investment. Finally, an applied example is given.
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周建平 徐辉 颜七笙. 基于模糊线性规划的证券组合投资优化研究[J]. 科学技术与工程, 2007, (6): 1123-1127. ZHOU Jian-ping, XU Hui, YAN Qi-sheng. Optimization of the Portfolio Investment Based on Fuzzy Linear Programming[J]. Science Technology and Engineering,2007,(6):1123-1127.