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| 一类模糊证券组合投资的最优模型 | |
| 引用本文： | 兰恒友,崔益顺,卢安文.一类模糊证券组合投资的最优模型[J].四川理工学院学报(自然科学版),2003,16(1):74-78. |
| 作者姓名： | 兰恒友 崔益顺 卢安文 |
| 作者单位： | 1. 四川轻化工学院应用数学系,四川,自贡,643033 2. 四川轻化工学院材料与化学工程系,四川,自贡,643033 3. 西南石油学院工商管理学院,四川,南充,637001 |
| 摘 要： | 为了体现投资者对期望水平的满意度,以最小风险对应的最大方差系数为目标,期望临界收益率为约束,建立一类新的模糊证券组合投资的最优模型。运用模糊优化和进化规划方法,研究新风险概念下的模糊证券组合选择,并给出了其相应算法。 |
| 关 键 词： | 模糊优化 新风险 临界收益率 方差系数 证券组合选择 |
| 文章编号： | 1008-438X(2003)01-0074-05 |
| 修稿时间： | 2002年9月11日 |
Optimal Model of a Class of Fuzzy Portfolio Investment |
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| LAN Heng-you,CUI Yi-shun,LU An-wen.Optimal Model of a Class of Fuzzy Portfolio Investment[J].Journal of Sichuan University of Science & Engineering:Natural Science Editton,2003,16(1):74-78. | |
| Authors: | LAN Heng-you CUI Yi-shun LU An-wen |
| Institution: | LAN Heng-you1,CUI Yi-shun2,LU An-wen3 |
| Abstract: | In order to show the satisfactory degree of customer, the most variance coefficient contrast to the least risk is taken as an object function and the expected critical yield rate is taken as a restraining condition, a optimal model of a new class of fuzzy portfolio investment is built. Then the methods of fuzzy optimization and evolution programming are adopted to study the portfolio investment under a new risk concept, and an algorithm for solving the problem is given. |
| Keywords: | fuzzy optimization new risk critical yield rate variance coefficient portfolio investment |
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