一种VaR度量下基于OWGA算子的区间数组合投资模型

A Portfolio Model of Interval Numbers with OWGA Operator under VaR Measure

本文建立了VaR度量下基于OWGA算子的区间数多目标组合投资模型.通过引入乐观系数将区间数组合投资模型转化为确定型组合投资模型,利用目标函数偏好水平将多目标组合投资模型转化为单目标组合投资模型,并引入0-1变量对模型进行求解.最后通过算例分析了OWGA加权向量,置信水平及目标函数偏好水平对决策结果的影响,并说明了模型的可行性和有效性.

This paper gives a multi - objective portfolio model of interval numbers under VaR measure especially with OWGA operator. By introducing an optimistic coefficient, the model with interval numbers is transformed into a model with certain numbers. Then the multi - objective model is changed into a single - objective one with the use of a preference degree in the objective function. With the 0 - 1 variable, the solutions are found. Finally, by analyzing a specific case, the effect of three factors -- the OWGA weighting vectors, the confident level and the preference degree -- is given. Moreover, the feasibility and efficiency of this model are showed.