| 基于UOWA算子的区间数证券组合投资模型研究 |
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| 引用本文： | 姚梦杰,周礼刚,陈华友.基于UOWA算子的区间数证券组合投资模型研究[J].合肥学院学报(自然科学版),2011(4):19-23. |
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| 作者姓名： | 姚梦杰 周礼刚 陈华友 |
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| 作者单位： | 安徽大学数学科学学院; |
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| 基金项目： | 国家自然科学基金项目(71071002); 安徽大学学术创新团队(KJTD001B,SKTD007B)、安徽大学青年科学基金项目(2009QN022B); 教育部大学生创新性实验基金项目(101035702)资助 |
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| 摘 要： | 通过建立基于UOWA算子的区间数证券组合投资模型,引入目标函数偏好水平、约束条件满足水平将区间数线性规划问题转化成确定型的混合整数规划问题,投资者可依据个人风险偏好及客观情况,给定相关参数的估计值,从而得到相应情况下的有效投资策略.最后通过实例,说明了模型具有可行性和良好的决策弹性.
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| 关 键 词： | UOWA算子 区间数 可能度 组合投资 |
Research on Portfolio Model of Interval Numbers with UOWA Operator |
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| YAO Meng-jie,ZHOU Li-gang,CHEN Hua-you.Research on Portfolio Model of Interval Numbers with UOWA Operator[J].Journal of Hefei University :Natural Sciences,2011(4):19-23. |
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| Authors: | YAO Meng-jie ZHOU Li-gang CHEN Hua-you |
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| Institution: | YAO Meng-jie,ZHOU Li-gang,CHEN Hua-you(School of Mathematical Sciences,Anhui University,Hefei 230039,China) |
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| Abstract: | This paper builds a portfolio model of interval numbers based on UOWA operator.By introducing a preference degree of objective function and a satisfactory degree of restraint conditions,we transform interval number linear programming problem into mixed integer programming problem with real coefficients.Investors can set the estimated value of the correlation coefficient according to individual risk preference and the objective conditions to attain the corresponding effective investment strategies.Finally,by... |
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| Keywords: | UOWA operator interval number possibility degree portfolio |
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