| 基于模糊数的证券投资组合最优化模型 |
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| 引用本文： | 金检华,李永明,李春泉.基于模糊数的证券投资组合最优化模型[J].重庆工商大学学报(自然科学版),2010,27(1):5-10. |
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| 作者姓名： | 金检华 李永明 李春泉 |
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| 作者单位： | 1. 西南石油大学理学院,四川南充,637001
2. 陕西师范大学计算机科学学院,西安,637001 |
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| 基金项目： | 国家自然科学基金资助项目 |
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| 摘 要： | 利用模糊数处理不确定性信息,建立了以总风险最小为目标函数的证券投资组合优化模型.在给定的截集下,借助模糊数大小的概率比较,将模糊优化模型转化为不等式约束下的线性规划模型.利用Matlab编程解得了其最优投资方案,并阐述了该方法的可行性.
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| 关 键 词： | 投资组合模型 模糊数 模糊期望收益率 证券市场 |
Securities investment portfolio optimization model based on fuzzy coefficients |
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| JIN Jian-hua; LI Yong-ming; LI Chun-quan.Securities investment portfolio optimization model based on fuzzy coefficients[J].Journal of Chongqing Technology and Business University:Natural Science Edition,2010,27(1):5-10. |
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| Authors: | JIN Jian-hua; LI Yong-ming; LI Chun-quan |
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| Institution: | JIN Jian-hua1,LI Yong-ming2,LI Chun-quan1(1.School of Sciences,Southwest Petroleum University,Sichuan Nanchong 637001,2.School of Computer Science,Shaanxi Normal University,Shaanxi Xian 710062,China) |
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| Abstract: | This paper uses fuzzy number to deal with uncertain information and establishes securities investment portfolio optimization model by taking total risk as minimum objective function.Under given cut-set,by using probability comparison of fuzzy number size,the fuzzy optimized model is transformed to the linear programming model under the inequality restraints.The optimal investment plan is obtained by Matlab programming and the feasibility of this method is discussed. |
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| Keywords: | investment portfolio selection model fuzzy number fuzzy expected rate of return securities market |
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