| 模糊机会约束规划下的投资组合模型 |
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| 引用本文： | 邵全.模糊机会约束规划下的投资组合模型[J].数理统计与管理,2007,26(3):512-517. |
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| 作者姓名： | 邵全 |
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| 作者单位： | 北京理工大学管理与经济学院,北京,100081 |
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| 摘 要： | 资产的过去数据和专家对资产未来表现的判断是资产收益率的两个重要信息,本文用基于上述两个信息的可能性分布描述证券收益率的不确定性,结合可能性测度和必要性测度,建立了基于模糊机会约束规划的乐观型和悲观型投资组合模型,并且得到了各模型的最优解的解析式。最后给出了算例予以说明。
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| 关 键 词： | 投资组合 可能性分布 模糊机会约束规划 |
| 文章编号： | 1002-1566（2007）03-0512-06 |
| 修稿时间： | 2005-03-03 |
Portfolio Selection Model Based on Fuzzy Chance-constrainned Programming |
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| SHAO Quan.Portfolio Selection Model Based on Fuzzy Chance-constrainned Programming[J].Application of Statistics and Management,2007,26(3):512-517. |
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| Authors: | SHAO Quan |
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| Institution: | School of Management and Economy, Beijing Institute of Technology, Beijing, 10008 China |
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| Abstract: | The past security data and expert's judgement for the future state of stock are two important information of stock returns.In this paper,possibility distributions describe uncertainty of stock returns.The optimistic and pessimistic portfolio selection model are identified to set up based on fuzzy chance-constrainned programming and optimal solutions are got when possibility distributions are intergrated to possibility measure and necessity measure.A numerical example of a portfolio selection problem is given to illustrate our proposed approaches. |
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| Keywords: | portfolio selection possibility distribution frizzy chance -constrainned programming |
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