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| 基于模糊收益率的组合投资模型 | |
| 引用本文： | 陈国华,陈收,房勇,汪寿阳.基于模糊收益率的组合投资模型[J].经济数学,2006,23(1):19-25. |
| 作者姓名： | 陈国华 陈收 房勇 汪寿阳 |
| 作者单位： | 1. 湖南大学工商管理学院,410082;湖南人文科技学院数学系,41700 2. 湖南大学工商管理学院,410082 3. 中国科学院数学与系统科学研究院,100080 |
| 基金项目： | 国家自然科学基金资助项目(No.70221001) |
| 摘 要： | 本文考虑了收益率为模糊数的投资组合选择问题,利用模型约束简化方差约束,建立了投资组合选择的模糊线性规划模型,然后引进模糊期望把模糊线性规划问题化为普通参数线性规划问题,最后给出了一个数值算例. |
| 关 键 词： | 投资组合选择 模糊期望 模糊线性规划 模糊收益率 |
| 修稿时间： | 2005年10月11 |
A MODEL FOR PORTFOLIO SELECTION BASED ON POSSIBILISTIC RETURN RATES |
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| Guohua Chen,Shou Chen,Yong Fang,Shouyang Wang.A MODEL FOR PORTFOLIO SELECTION BASED ON POSSIBILISTIC RETURN RATES[J].Mathematics in Economics,2006,23(1):19-25. | |
| Authors: | Guohua Chen Shou Chen Yong Fang Shouyang Wang |
| Abstract: | This paper deals with a portfolio selection problem with possibilistic return rates.An efficient way is given to transform an traditional optimal problem with variance constraint into a fuzzy linear problem.a fuzzy linear programming problem is converted into an ordinary parameter linear programming problem by introducing possibilistic mean value and possibilistic variance,a numerical example is given to illustrate the behavior of the proposed model. |
| Keywords: | Portfolio selection possibilistic mean value possibilistic linear programming possibilistic return rates |
| 本文献已被 CNKI 万方数据 等数据库收录！ | |