摘要
构造了一个均值-最小最大化组合投资多目标规划模型.与胡达沙和吴炜提出的多目标均值-方差模型比较,该模型有几方面改进.除了模型假设和数学表述的一些修正,该模型使用历史最小收益替换方差,这使得该模型不仅继承了多个目标的可行权衡的好的特性,而且在衡量向下风险方面的表现优于多目标均方模型.通过理论分析和数值试验说明了这一点.当组合投资收益分布适度有偏时,该模型的优势会更为突出.
A mean-minimum maximized multi-objective programming model is proposed for solving portfolio selection problems. Minimum return is used in this model to measure the downside risk of a portfolio, and multi-objective model provides more flexible trade-off among profit, risk and cost （or even more factors ）. Both theoretical analysis and numerical experiments are committed. These results indicate that, when the distributions of portfolio returns are moderately skewed, this model outperforms the normal meanvariance efficient model obviously.
出处
《内蒙古大学学报（自然科学版）》
CAS
CSCD
北大核心
2009年第5期548-554,共7页
Journal of Inner Mongolia University：Natural Science Edition
基金
Supported by the Cultivation Fund of the Key Scientific and Technical Innovation Project,Ministry of Education of China(NO708040)
Leading Academic Discipline Program,211 Project for Shanghai University of Finance and Economics(the 3rd phase)~~
关键词
组合投资选择
向下风险
多目标规划
Portfolio selection
downside risk
multi-objective programming
