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| 带有流动性的模糊投资组合优化模型 | |
| 引用本文： | 陈宁,李晓清,韦增欣. 带有流动性的模糊投资组合优化模型[J]. 广西科学, 2015, 22(2): 216-219 |
| 作者姓名： | 陈宁 李晓清 韦增欣 |
| 作者单位： | 广西大学数学与信息科学学院,广西南宁,530004 |
| 基金项目： | 国家自然科学基金项目(11161003)资助。 |
| 摘 要： | 用三角模糊数描述证券的收益率,同时基于流动性与证券收益之间存在的负相关关系,设置流动性的效用函数,从而建立一种考虑流动性的多目标投资组合优化模型,再将多目标模型转化为单目标模型,用Lagrange乘子法求解并进行数值试验. |
| 关 键 词： | 投资组合模型 流动性 三角模糊数 有效边界 |
| 收稿时间： | 2014-04-28 |
| 修稿时间： | 2014-05-10 |
Fuzzy Portfolio Optimization Model with Liquidity |
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| CHEN Ning,LI Xiao-qing and WEI Zeng-xin. Fuzzy Portfolio Optimization Model with Liquidity[J]. Guangxi Sciences, 2015, 22(2): 216-219 | |
| Authors: | CHEN Ning LI Xiao-qing WEI Zeng-xin |
| Affiliation: | Mathematics and Information Technology Department, Guangxi University, Nanning, Guangxi, 530004, China,Mathematics and Information Technology Department, Guangxi University, Nanning, Guangxi, 530004, China and Mathematics and Information Technology Department, Guangxi University, Nanning, Guangxi, 530004, China |
| Abstract: | This paper builds a multi-objective functions model with possibilistic mean, possibilistic covariance and liquidity based on the negative correlation between stocks'' liquidity and their returns.Lagrange multiplier method is used to solve the problem after transform of the multi-objective functions model into a single objective function model, and numerical experiment is given at last. |
| Keywords: | portfolio model liquidity triangular fuzzy number efficient boundary |
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