| 一种VaR度量下基于OWGA算子的区间数组合投资模型 |
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| 引用本文： | 郭莉莉,周礼刚,陈华友.一种VaR度量下基于OWGA算子的区间数组合投资模型[J].枣庄师专学报,2011,28(2):73-77. |
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| 作者姓名： | 郭莉莉 周礼刚 陈华友 |
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| 作者单位： | 安徽大学,数学科学学院,安徽,合肥,230601 |
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| 基金项目： | 国家自然科学基金项目资助，安徽大学学术创新团队资助，安徽大学青年科学基金项目资助，教育部大学生创新性实验基金项目资助 |
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| 摘 要： | 本文建立了VaR度量下基于OWGA算子的区间数多目标组合投资模型.通过引入乐观系数将区间数组合投资模型转化为确定型组合投资模型,利用目标函数偏好水平将多目标组合投资模型转化为单目标组合投资模型,并引入0-1变量对模型进行求解.最后通过算例分析了OWGA加权向量,置信水平及目标函数偏好水平对决策结果的影响,并说明了模型的可行性和有效性.
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| 关 键 词： | VaR OWGA算子 区间数 组合投资 |
A Portfolio Model of Interval Numbers with OWGA Operator under VaR Measure |
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| GUO Li-li,ZHOU Li-gang,CHEN Hua-you.A Portfolio Model of Interval Numbers with OWGA Operator under VaR Measure[J].Journal of Zaozhuang Teachers' College,2011,28(2):73-77. |
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| Authors: | GUO Li-li ZHOU Li-gang CHEN Hua-you |
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| Institution: | GUO Li - li ,ZHOU Li - gang ,CHEN Hua - you ( 1. School of Mathematical Sciences, Anhui University, Hefei 230601, China) |
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| Abstract: | This paper gives a multi - objective portfolio model of interval numbers under VaR measure especially with OWGA operator. By introducing an optimistic coefficient, the model with interval numbers is transformed into a model with certain numbers. Then the multi - objective model is changed into a single - objective one with the use of a preference degree in the objective function. With the 0 - 1 variable, the solutions are found. Finally, by analyzing a specific case, the effect of three factors -- the OWGA weighting vectors, the confident level and the preference degree -- is given. Moreover, the feasibility and efficiency of this model are showed. |
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| Keywords: | VaR |
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