摘要
利用模糊约束将Markowitz投资组合模型转化为模糊线性规划模型,用区间数来描述证券的期望收益率和风险损失率,建立区间数模糊证券投资组合模型,利用区间数知识把区间规划问题转化为参数线性规划问题对该模型进行求解,通过算例阐述方法的有效性。
A interval number fuzzy portfolio selection model is proposed with a method, which Markowitz portfolio selection model is converted into fuzzy linear programming model with fuzzy constraint and profit rates and risk rates of security are described by interval fuzzy number. Then a interval programming problem is converted into a parameter linear programming problem by the knowledge of interval math. Finally, a numerical example is given to illustrate the validity of the method.
出处
《系统工程》
CSCD
北大核心
2007年第8期34-37,共4页
Systems Engineering
基金
国家社会科学基金资助项目(05BJY010)
国家自然科学基金资助项目(70221001)
关键词
投资组合选择
模糊线性规划
区间规划
区间预期收益率
Portfolio Selection
Fuzzy Linear Programming
Interval Programming
Interval Expected Return Rates
