| 基于模糊优化的多目标投资组合选择模型研究 |
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| 引用本文： | 周洪涛,王宗军,宋海刚.基于模糊优化的多目标投资组合选择模型研究[J].华中科技大学学报(自然科学版),2005,33(1):108-110. |
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| 作者姓名： | 周洪涛 王宗军 宋海刚 |
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| 作者单位： | 1. 华中科技大学,管理学院,湖北,武汉,430074
2. 华中科技大学,系统工程研究所,湖北,武汉,430074 |
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| 摘 要： | 将模糊集合的概念引入投资组合模型中，并将多目标投资组合模型中的收益、方差和偏度三个目标模糊化，用逻辑隶属函数作为新的目标函数．针对该模糊多目标投资组合模型，提出了一个动态遗传算法，算例给出了该模型的一个实例的最优解，并进一步解释了模糊尺度随决定逻辑隶属函数形状的参数的变化而反向变化的规律．
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| 关 键 词： | 多目标投资组合选择模型 模糊优化 偏度 遗传算法 |
| 文章编号： | 1671-4512(2005)01-0108-03 |
| 修稿时间： | 2003年11月24 |
A multi-objective portfolio selection model based on fuzzy optimization |
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| Zhou Hongtao,Wang Zongjun,Song Haigang.A multi-objective portfolio selection model based on fuzzy optimization[J].JOURNAL OF HUAZHONG UNIVERSITY OF SCIENCE AND TECHNOLOGY.NATURE SCIENCE,2005,33(1):108-110. |
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| Authors: | Zhou Hongtao Wang Zongjun Song Haigang |
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| Institution: | Zhou Hongtao Wang Zongjun Song Haigang Zhou Hongtao Dr., College of Management,Huazhong Univ. of Sci. & Tech.,Wuhan 430074,China. |
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| Abstract: | Fuzzy set was applied to multi objective portfolio selection model to deal with three objective functions of this model, that is , income, risk and skewness respectively. The fuzzy multi objective portfolio selection model was established by taking logistic memberships as new objective function of portfolio selection model. Then, aiming at this model, a new genetic algorithm was designed for solving it. The optimum solution of an example about this portfolio model was given with this new algorithm. Its result interprets that the variable regularity of fuzzy scale inversely changes with these parameters determining the shape of the logistic membership function. |
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| Keywords: | multi-objective portfolio selection model fuzzy optimization skewness genetic algorithms |
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