| 一种证券组合投资的模糊多目标规划方法 |
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| 引用本文： | 郭存芝,郑垂勇.一种证券组合投资的模糊多目标规划方法[J].系统工程理论与实践,2001,21(1):21-24. |
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| 作者姓名： | 郭存芝 郑垂勇 |
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| 作者单位： | (1)南京经济学院金融学系;(2) 河海大学技术经济学院 |
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| 摘 要： | 考虑了证券投资的预期收益率和风险的模糊性 ,利用多样化选择约束抵减证券投资的非系统风险 ,以证券组合投资的收益率极大化和β值极小化为目标 ,建立了一种新的基于模糊多目标规划的证券投资决策模型 ,指出了模型的求解方法 .
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| 关 键 词： | 证券组合投资 多样化选择约束 模糊多目标规划 |
| 文章编号： | 1000-6788(2001)01-0021-04 |
| 修稿时间： | 1999年5月17日 |
A Kind of Fuzzy Multiple
Objective Programming Method for Portfolio Investment |
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| GUO Cun\|zhi\ ,ZHENG Chui\|yong\.A Kind of Fuzzy Multiple
Objective Programming Method for Portfolio Investment[J].Systems Engineering —Theory & Practice,2001,21(1):21-24. |
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| Authors: | GUO Cun\|zhi\ ZHENG Chui\|yong\ |
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| Institution: | (1)Dept. of Finance, Nanjing Economics Institute;(2)College of Technical Economics Hehai University |
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| Abstract: | Based on considering the fuzzy property of the expected profitrates and investment risk for portfolio investment and using diversification selection constraints to counteract the non-system risk, this paper presents a new fuzzy multiple objective programming model for the decision of securities investment with maximum of the expected rate of return and mimimum of the investment risk measured byβ, and the method of solution is proposed. |
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| Keywords: | portfolio investment expected rate of return risk fuzzy multiobjective programming |
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