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收益率为模糊数带弹性约束条件的组合选择模型
引用本文:何建东. 收益率为模糊数带弹性约束条件的组合选择模型[J]. 成都大学学报(自然科学版), 2013, 32(2): 202-205
作者姓名:何建东
作者单位:嘉兴职业技术学院,浙江嘉兴,314036
摘    要:证券市场中不确定的信息具有模糊性.将收益率视为梯形模糊数,分别用模糊数的可能性均值和平均绝对偏差来表示投资组合的收益和风险,考虑到目标函数和约束条件具有弹性,建立了模糊线性规划组合投资模型。并转化为普通线性规划问题求解。最后给出了数值计算实例.

关 键 词:投资组合选择  梯形模糊数  可能性均值  弹性约束条件

Portfolio Selection Model for Fuzzy Return Rate with Elastic Restraints
HE Jiandong. Portfolio Selection Model for Fuzzy Return Rate with Elastic Restraints[J]. Journal of Chengdu University (Natural Science), 2013, 32(2): 202-205
Authors:HE Jiandong
Affiliation:HE Jiandong(Department of Social Sciences,Jiaxing Vocational Technical College,Jiaxing 314036,China)
Abstract:The uncertain information in stock market is characterized by fuzziness. This paper takes the rate of return as trapezoidal fuzzy number, and uses the possibilistic mean and the mean absolute deviation of fuzzy numbers respectively to describe the return and risk of portfolio. Considering the objective function and restraints flexible, we establish a fuzzy linear programming portfolio model, and convert it into the ordi- nary linear progrannning problem. Finally, an example of numerical calculation is given to illustrate the ef- fectiveness and reliance of the model.
Keywords:portfolio selection  trapezoidal fuzzy number  possibilistic mean value  elastic restraints
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