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| 区间数模糊投资组合模型 | |
| 引用本文： | 陈国华,陈收,汪寿阳.区间数模糊投资组合模型[J].系统工程,2007,25(8):34-37. |
| 作者姓名： | 陈国华 陈收 汪寿阳 |
| 作者单位： | 1. 湖南大学,工商管理学院,湖南,长沙,410082;湖南人文科技学院,数学系,湖南,娄底,417000 2. 湖南大学,工商管理学院,湖南,长沙,410082 3. 湖南大学,工商管理学院,湖南,长沙,410082;中国科学院,数学与系统科学研究院,北京,100080 |
| 基金项目： | 国家社会科学基金;国家自然科学基金 |
| 摘 要： | 利用模糊约束将Markowitz投资组合模型转化为模糊线性规划模型，用区间数来描述证券的期望收益率和风险损失率，建立区间数模糊证券投资组合模型，利用区间数知识把区间规划问题转化为参数线性规划问题对该模型进行求解，通过算例阐述方法的有效性。 |
| 关 键 词： | 投资组合选择 模糊线性规划 区间规划 区间预期收益率 |
| 文章编号： | 1001-4098（2007）08-0034-04 |
| 修稿时间： | 2007-01-31 |
Interval Number Fuzzy Portfolio Selection Model |
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| CHEN Guo-hua,CHEN Shou,WANG Shou-yang.Interval Number Fuzzy Portfolio Selection Model[J].Systems Engineering,2007,25(8):34-37. | |
| Authors: | CHEN Guo-hua CHEN Shou WANG Shou-yang |
| Institution: | 1. College of Business Administration,Hunan University,Changsha 410082,China; 2. Institute of Systems Science, Academy of Mathematics and Systems Science,ChineseAcademy of Sciences,Beijing 100080,China ; 3. Department of Mathematics,Hunan Institute of Humanities Science and Technology,Loudi 417000,China |
| Abstract: | A interval number fuzzy portfolio selection model is proposed with a method, which Markowitz portfolio selection model is converted into fuzzy linear programming model with fuzzy constraint and profit rates and risk rates of security are described by interval fuzzy number. Then a interval programming problem is converted into a parameter linear programming problem by the knowledge of interval math. Finally, a numerical example is given to illustrate the validity of the method. |
| Keywords: | Portfolio Selection Fuzzy Linear Programming Interval Programming Interval Expected Return Rates |
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