基于模糊线性规划的证券组合投资优化研究

怎样选择一个比较满意的证券投资组合，在一定条件下实现一个最有效率的风险一收益搭配，是证券组合投资优化问题的关键。文中利用L-R模糊数来描述了某证券的期望收益率和风险损失率，从而对证券组合投资问题建立了一种模糊线性规划模型，并给出了模型的求解方法，试图优化证券的投资组合，最后给出了一个算例。

Optimization of the Portfolio Investment Based on Fuzzy Linear Programming

The key to the portfolio investment optimization is how to select a type of the more satisfying investment portfolio,and then to achieve it with the most efficient collocation between risk and return. L-R uzzy number is used to depict one stockg expected rate of the return and the risk rate, and builds up a fuzzy linear programming model on the portfolio investment ,trying to optimizate the portfolio investment. Finally, an applied example is given.