摘要
将直觉模糊集合的概念引入投资组合模型中,并将多目标投资组合模型中的收益、方差和偏度三个目标模糊化,用隶属函数与非隶属函数作为新的目标函数。针对该模糊多目标投资组合模型,提出了一个动态遗传算法,算例给出了该模型的一个实例的最优解。
Intuitionistic fuzzy set was applied to multi-objective portfolio selection model to deal with three objective functions of this model,that is,income,risk and skewness respectively.The fuzzy multi-objective portfolio selection model was established by taking memberships function and rejection（non-membership） function as new objective function of portfolio selection model.Then,aiming at this model,a new genetic algorithm was designed for solving it.The optimum solution of an example about this portfolio model was given with this new algorithm.
出处
《模糊系统与数学》
CSCD
北大核心
2012年第2期129-135,共7页
Fuzzy Systems and Mathematics
关键词
多目标投资组合模型
直觉模糊规划
偏度
遗传算法
Multi-objective Portfolio Selection Model
Intuitionistic Fuzzy Programming
Skewness
Genetic Algorithms
