| 基于模糊决策的模糊投资组合选择模型研究 |
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| 引用本文： | 马淑兰.基于模糊决策的模糊投资组合选择模型研究[J].佛山科学技术学院学报(自然科学版),2009,27(2):31-35. |
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| 作者姓名： | 马淑兰 |
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| 作者单位： | 宁夏师范学院数学与计算机科学学院,宁夏,固原,756000;西安工程大学理学院,陕西,西安,710048 |
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| 摘 要： | 对模糊情况下的证券投资组合问题进行了研究。提出了相应的证券投资组合问题模型和求解方法。假定交易费用函数为V型函数，将投资者的主观意见反映在模糊情况的投资组合模型之中，给出了将目标函数中含有非线性项或含有非线性约束的优化模型转化为线性规划问题的一个简便方法。
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| 关 键 词： | 投资组合 模糊决策 投资收益 投资风险 |
A model for portfolio selection based on fuzzy decision-making theory |
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| MA Shu-lan.A model for portfolio selection based on fuzzy decision-making theory[J].Journal of Foshan University(Natural Science Edition),2009,27(2):31-35. |
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| Authors: | MA Shu-lan |
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| Institution: | 1.School of Mathematics and Computer Science;Ningxia Normal University;Guyuan 756000;China;2.School of Science;Xi'an Polytechnic University;Xi'an 710048;China |
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| Abstract: | In this paper,we study portfolio selection in fuzzy case and propose corresponding model and algorithm.The transaction cost is taken as V-shaped function.An efficient way is given to transform an optimal problem with non-linear objective function or non-linear constraint into a linear problem.The investor's subjective impact is reflected in the model of the fuzzy decision-making environment. |
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| Keywords: | portfolio selection fuzzy decision-making investment return investment risk |
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