摘要
以投资组合产出率及目前流行的风险价值VAR为目标函数,研究了在这两个目标下企业投融资组合管理的模糊模型和优化问题,说明了决策变量是财务杠杆和债务结构.给出了金融市场不确定性环境的构造过程,运用进化规划进行优化计算,对不同模糊程度下的债务结构、财务杠杆及其股东权益资本产出率进行了仿真.
Taking the return on equity of investment combination and the value at risk VAR as the objective function, the problem of investment combination management fuzzy model and optimization financial product are studied. Decision variables are financial leverage and debt structure. The construction process of uncertain financial market environment is presented. The evolution programming is applied to waged the optimization calculation actual example. Simulations of debt structure, financial leverage and assets profit rate of stockholder rights and interests under varying degrees are discussed.
出处
《控制与决策》
EI
CSCD
北大核心
2004年第7期756-758,763,共4页
Control and Decision
基金
辽宁省自然科学基金资助项目(9910200208).
关键词
财务杠杆
债务结构
风险价值
模糊规划
进化规划
Computer simulation
Enterprise resource planning
Fuzzy sets
Optimization
