摘要
将预期收益率表示为模糊数,以E-SV风险测度为基础给出了组合证券投资决策的效用函数,并建立了基于分式规划的模糊投资组合选择模型,考虑到模型求解的复杂性,我们利用遗传算法构造罚函数对模型进行了求解,并通过实例,验证了该模型解法的可行性和有效性。
In this paper,expected rate of return is expressed as fuzzy numbers,a portfolio selection utility function based on E-SV risks measure is advanced,and then the portfolio selection model based on the fractional programming is built. Taking into account the complexity of solving the model,the model is solved by use of genetic algorithm by constructing penalty function of,the paper illustrates the feasibility and effectiveness of the algorithm with a practical example.
出处
《模糊系统与数学》
CSCD
北大核心
2009年第5期163-167,共5页
Fuzzy Systems and Mathematics
基金
国家自然科学基金资助项目(70221001)
国家社会科学基金资助项目(05BJY010)
湖南省教育厅科研项目(07C389)
关键词
模糊收益率
投资组合模型
分式规划
分式效用函数
遗传算法
Fuzzy Return
Portfolio Selection Model
Fractional Programming
Fractional Risk Utility
Genetic Algorithm
