单位风险收益最大化的组合投资决策模型

The Ratio of Profit to Risk is Taken as Decision Object in Portfolio Selection

以模糊信息处理为切入点,围绕组合投资决策过程的核心问题——预期收益率的获取和风险的估计,给出一个能同时兼顾风险和收益这两项指标、折衷考虑风险最小化和收益最大化的单目标决策方法.首先,以单位风险收益最大化为决策目标建立决策模型,进而研究模型求解的方法并给出算法步骤,最后给出计算实例.

Considering the case in which fuzziness must be treated, this paper concentrates on two core problems of the decision process from the angle of fuzziness. One is the acquirement of anticipation profit rate and the other is the estimate of risk, and the techniques for modeling the portfolio selection with fuzzy information are discussed. In order to give attention to the profit rate and the risk at the same time, a one-objective decision method is given by compromised with the minimum of investment risk on the maximum of profit. First of all, the model is established by the ratio of profit to risk as the decision object. Next, the method of the solution is proved with the steps. Finally, the algorithm for seeking the solution is given.