| 基于GA-FUZZY的投资组合满意度优化研究 |
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| 引用本文： | 李文峰,周晓东,戴剑勇.基于GA-FUZZY的投资组合满意度优化研究[J].南华大学学报(自然科学版),2009,23(2):50-54. |
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| 作者姓名： | 李文峰 周晓东 戴剑勇 |
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| 作者单位： | 南华大学,经济管理学院,湖南,衡阳,421001 |
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| 摘 要： | 在Markowitz均值-方差模型的基础上,利用隶属度函数转化了投资组合预期收益与风险方差的函数关系表达式,构建了在不同模糊目标、模糊约束权重系数下的模糊投资组合集成模型,引入遗传算法有效地解决了投资组合模糊最优满意度决策问题.并以我国资本市场三种最基本的金融资产开展实证分析,取得了较好的效果.
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| 关 键 词： | 投资组合 模糊规划 遗传算法 最大满意度 |
| 收稿时间： | 2008/11/22 0:00:00 |
Optimization Research and Application of Satisfaction Degree for Portfolio Investment Based on Genetic Algorithms-fuzzy |
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| LI Wen-feng,ZHOU Xiao-dong,DAI Jian-yong.Optimization Research and Application of Satisfaction Degree for Portfolio Investment Based on Genetic Algorithms-fuzzy[J].Journal of Nanhua University:Science and Technology,2009,23(2):50-54. |
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| Authors: | LI Wen-feng ZHOU Xiao-dong DAI Jian-yong |
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| Institution: | School of Economics and Management,University of South China,Hengyang,Hunan 421001,China |
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| Abstract: | This article has constructed the fuzzy investment profolio integration model under the different weight coefficient of the fuzzy target and the fuzzy constraint,which is based on the Markowitz average value-variance model foundation,and transformed the investment profolio anticipated income and the risk variance functional relation expression with the degree of membership function.It has effectively solved most superior degree of satisfaction decision-making problem of investment profolio by introducing genetic algorithm.And it has carried out demonstration analysis for three kinds of most basic finance property of our country capital market,which has obtained the good effect. |
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| Keywords: | portfolio investment fuzzy program genetic algorithms optimal degree of satisfaction |
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