摘要
针对期望收益率与风险损失率为区间值模糊数的特征,就证券组合投资问题建立了一种区间值模糊线性规划模型,运用一种对区间值模糊数排序的新算法,将模型转化为经典的线性规划问题进行求解,最后通过一个算例说明其有效性和可靠性,为证券组合投资优化问题的解决提供了一种新的方法,对证券组合的理性投资具有重要的指导意义.
An interval-valued fuzzy linear programming model of portfolio investment Problem in which profit rates and risk rates are fuzzy numbers is presented in this paper.By using a kind of new algorithm of ranking of interval-valued fuzzy number, the model can be converted to the classical linear program problem which can be solved by the method of linear program, In the end, the model＇s effectiveness and reliance are illustrated with a living example is given. It has important guiding significance for rational investment of stock portfolio.
出处
《数学的实践与认识》
CSCD
北大核心
2010年第7期25-30,共6页
Mathematics in Practice and Theory
基金
江苏省高校自然科学基础研究(08KJD630001)
关键词
组合投资优化
区间值模糊线性规划
三角形区间值模糊数
辅助模型
portfolio investment optimization
triangular interval-valued fuzzylinearProgramming
triangular interval-valued fuzzy number
auxiliary model
