| 基于直觉模糊规划的多目标投资组合选择模型 |
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| 引用本文： | 陈国华,廖小莲,余星.基于直觉模糊规划的多目标投资组合选择模型[J].模糊系统与数学,2012,26(2):129-135. |
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| 作者姓名： | 陈国华 廖小莲 余星 |
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| 作者单位： | 湖南人文科技学院数学系,湖南娄底,417000 |
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| 摘 要： | 将直觉模糊集合的概念引入投资组合模型中,并将多目标投资组合模型中的收益、方差和偏度三个目标模糊化,用隶属函数与非隶属函数作为新的目标函数.针对该模糊多目标投资组合模型,提出了一个动态遗传算法,算例给出了该模型的一个实例的最优解.
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| 关 键 词： | 多目标投资组合模型 直觉模糊规划 偏度 遗传算法 |
Multi-objective Portfolio Selection Model Based on Intuitionistic Fuzzy programming |
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| CHEN Guo-hua
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LIAO Xiao-lian
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YU Xing.Multi-objective Portfolio Selection Model Based on Intuitionistic Fuzzy programming[J].Fuzzy Systems and Mathematics,2012,26(2):129-135. |
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| Authors: | CHEN Guo-hua LIAO Xiao-lian YU Xing |
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| Institution: | (Department of Mathematics,Hunan Institute of Humanities Science and Technology,Loudi 417000,China) |
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| Abstract: | Intuitionistic fuzzy set was applied to multi-objective portfolio selection model to deal with three objective functions of this model,that is,income,risk and skewness respectively.The fuzzy multi-objective portfolio selection model was established by taking memberships function and rejection(non-membership) function as new objective function of portfolio selection model.Then,aiming at this model,a new genetic algorithm was designed for solving it.The optimum solution of an example about this portfolio model was given with this new algorithm. |
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| Keywords: | Multi-objective Portfolio Selection Model Intuitionistic Fuzzy Programming Skewness Genetic Algorithms |
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