区间数在证券投资组合中的运用

Application of Interval Number in Portfolio Selection

文章用区间数描述了证券的收益率、投资风险和证券流动性的不确定性,基于绝对偏差风险函数和极大极小原则建立了投资组合选择的区间规划模型,并利用区间数的两种序关系将模型转化为普通的参数线性规划问题进而求得其解.

The paper advances the returns, risk and the liquidity of the risky security as interval number, based on absolute deviation risk function with a min-max principle to set up a model for portfolio selection about interval number. On the basis of two kinds of preference relations, the model for portfolio selection about interval number is proposed to he transformed to an ordinary parametric linear programming problem and finally the problem is solved.