| 证券组合投资选择模型的模糊优化 |
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| 引用本文： | 黄文华,王仁明.证券组合投资选择模型的模糊优化[J].三峡大学学报(自然科学版),2005,27(6):574-576. |
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| 作者姓名： | 黄文华 王仁明 |
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| 作者单位： | 三峡大学,电气信息学院,湖北,宜昌,443002 |
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| 摘 要： | 以证券组合的期望收益率及风险损失率为目标函数，研究了在这两个目标下证券投资组合的模糊模型及其优化问题，并利用S型隶属函数将模型转化为普通线性规划模型进行求解，最后给出了一个具体的例子来阐述方法的有效性．
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| 关 键 词： | 证券组合 收益率 风险损失率 模糊隶属函数 |
| 文章编号： | 1672-948X(2005)06-0574-03 |
| 修稿时间： | 2005年10月17 |
Fuzzy Optimization for Portfolio Investment Model |
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| Huang Wenhua,Wang Renming.Fuzzy Optimization for Portfolio Investment Model[J].Journal of China Three Gorges University(Natural Sciences),2005,27(6):574-576. |
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| Authors: | Huang Wenhua Wang Renming |
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| Abstract: | Taking the anticipated profit rate and risk rate of portfolio as the objective function,the fuzzy model of portfolio and optimization problem are studied.To solve it,an approach is worked out by converting the fuzzy model into an ordinary linear programming with S-shaped membership function.Finally,an example is given to illustrate the validity of the approach. |
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| Keywords: | portfolio profit rate risk rate fuzzy membership function |
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