摘要
组合证券的期望收益率用区间数来描述,风险损失率用梯形模糊数来描述,由此提出组合证券投资的模糊线性规划模型.通过引入模糊数可能性均值的概念,以及区间数线性规划问题中的目标函数优化水平参数η,将目标函数和约束条件分别为区间数和梯形模糊数的模糊线性规划模型转化为普通的线性规划模型,进而求得模型的满意解.
The return rates and risk rates of securities can be described as interval number and trapezoid number respectively in this paper. A kind of portfolio selection model with fuzzy linear programming is proposed. At the same time, The possibilistic mean of fuzzy numbers and the parameter η of object function about fuzzy linear programming problem are introduced. So the fuzzy linear programming problem can be transformed to an ordinary parametric linear programming problem and a satisfied solution of the model is obtained.
出处
《纺织高校基础科学学报》
CAS
2007年第2期133-136,共4页
Basic Sciences Journal of Textile Universities
关键词
证券组合投资
模糊数
模糊约束
模糊线性规划
满意解
portfolio selection
fuzzy number
fuzzy restraint
fuzzy linear programming
feasible solu- tion
