| 多目标投资组合模型的模糊两阶段解法 |
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| 引用本文： | 陈国华,廖小莲. 多目标投资组合模型的模糊两阶段解法[J]. 吉首大学学报(自然科学版), 2006, 27(6): 18-21 |
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| 作者姓名： | 陈国华 廖小莲 |
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| 作者单位： | 湖南人文科技学院数学系,湖南,娄底,417000;湖南大学工商管理学院,湖南,长沙,410082;中南大学数学科学与计算技术学院,湖南,长沙,410075 |
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| 摘 要： | 对多目标证券组合投资模型进行了研究，模型以绝对偏差和代替方差作为投资组合的风险度量.该模型是一个多目标线性优化问题，采用两阶段模糊算法对模型进行求解，最后给出了该模型的一个实例的最优解.
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| 关 键 词： | 投资组合模型 模糊两阶段解法 多目标线性优化 |
| 文章编号： | 1007-2985（2006）06-0018-04 |
| 收稿时间： | 2006-01-12 |
| 修稿时间： | 2006-01-12 |
A Fuzzy Two-Stage Algorithm for Multi-Objective Portfolio Selection Model |
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| CHEN Guo-hua,LIAO Xiao-lian. A Fuzzy Two-Stage Algorithm for Multi-Objective Portfolio Selection Model[J]. Journal of Jishou University(Natural Science Edition), 2006, 27(6): 18-21 |
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| Authors: | CHEN Guo-hua LIAO Xiao-lian |
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| Affiliation: | (1.Department of Mathematics，Hunan Institute of Humanities Science and Technology,Loudi 417000,Hunan China;2.School of Business Administration,Hunan University,Changsha 410082,China;3.School of Mathematical Science and Computing Technology,Central South University,Changsha 410075,China) |
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| Abstract: | Multi-objective portfolio selection model is studied.In this model,the risk is taken as the sum of the absolute deviation of the risk assets instead of covariance.It is a multi-objective linear optimal problem.Fuzzy two-stage algorithm is applied to solve it.The optimum solution of an example about this portfolio model is given with this new algorithm. |
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| Keywords: | portfolio selection model fuzzy two-stage algorithm multi-objective linear optimization |
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