摘要
将模糊集合的概念引入投资组合模型中，利用证券组合投资的收益率极大化为目标，以投资组合模型中的值为约束建立了一种模糊规划投资组合模型，利用模糊数学知识把模糊规划投资组合模型转化为带参数的线性规划模型，算例给出了该模型的一个实例的最优解。
Fuzzy set was applied to portfolio selection model, to maximize the profit rate of security portfolio under constraints of β and liquidity,an fuzzy programming portfolio selection model was established（IMβL）, IMβL was transformed into parameter linear programming by means of the knowledge of fuzzy numbers. The optimum solution of an example about this portfolio model was given with this new algorithm.
出处
《中国经济与管理科学》
2008年第8期154-155,共2页
Chinese Economy Management Science Magazine
基金
湖南省教育厅资助科研项目07C389
湖南人文科技学院资助项目RKJGYOT19.
关键词
证券投资组合
模糊规划
Β约束
Portfolio selection Fuzzy programming β constraint
