| 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. |
| 关键词: 投资组合模型 模糊数 模糊期望收益率 证券市场 |
| DOI： |
| 分类号: |
| 基金项目:国家自然科学基金资助项目(10571112) |
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| Securities investment portfolio optimization model based on fuzzy coefficients |
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JIN Jian-hua1; LI Yong-ming2; LI Chun-quan1
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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. |
| Key words: investment portfolio selection model fuzzy number fuzzy expected rate of return securities market |
