摘要
通过结构元方法定义了一种模糊数排序准则,利用模糊约束将Markowitz投资组合模型转化为模糊线性规划模型,并利用模糊数来描述证券的期望收益率和风险损失率,建立模糊数模糊证券投资组合模型。最后,利用定义的模糊数排序准则把模糊数规划问题转化为经典的线性规划问题,然后再对该模型进行求解,并通过算例阐述了该方法的有效性。
A fuzzy programming model of portfolio investment is defined a new ranking criterion of fuzzy numbers with the method of structured element,which Markowitz portfolio investment model is converted into fuzzy linear programming model with fuzzy constraint and profit rates and risk rates of security are described by fuzzy number.Then a fuzzy programming problem is converted into a classical linear programming problem by the know ledge of fuzzy math.Finally,a numerical example is given to illustrate the validity of the method.
出处
《模糊系统与数学》
CSCD
北大核心
2010年第6期104-109,共6页
Fuzzy Systems and Mathematics
基金
辽宁省教育厅高等学校科学研究项目(20060377)
辽宁工程技术大学研究项目
关键词
模糊结构元
排序准则
证券组合投资
模糊线性规划
Fuzzy Structured Element
Ranking Criterion
Portfolio Investment
Fuzzy Linear Program-ming
