带交易费用的证券组合投资的模糊多目标优化模型

A Fuzzy Multiple Objective Optimal Model for Portfolio Investment with Transaction Costs

利用在约束条件中加入证券多样化选择约束的方法来抵减非系统风险,建立了带交易费用的综合考虑收益和风险的模糊多目标规划模型.在此模型中,考虑到证券投资的预期收益和风险的模糊性,把目标函数和约束系数均作为模糊数处理,并给出了模型的求解方法和问题的一个算例.

A fuzzy multi-objective optimal model for portfolio investment with transaction costs is built in view of return and risk, In the model,the diversification selection constraints are used to coun Considering the fuzzy expected return and risk for portfolio investment, the coefficients constraints are all fuzzy numbers. At last, an algorithm and an example are given for the teract the non-system risk of objective functions and programming problem