摘要
在双目标有价证券选择基础上,将灰色概念运用于有价证券组合选择,按投资者给定的期望目标及容差,以隶属度为目标函数,讨论线性隶属函数模型.依据深圳市场9只股票收益率数据,采用Matlab进行优化计算,并验证模型的有效性.
On the basis of two securities selection , the grey concept was applied to the portfolio composition selection. According to the hope, object and permitting difference given by investor, the membership function was discussed. For the data of nine stock profit rate in Shenzhen stock market, Matlab is adopted to wage the optimization calculation and to verify the effectiveness of the model.
出处
《沈阳化工学院学报》
2005年第2期142-144,共3页
Journal of Shenyang Institute of Chemical Technolgy
关键词
证券组合
收益率
风险
灰色
优化
securities combination
profit rate
risk
grey
optimization
