一种证券组合投资的模糊多目标规划方法

A Kind of Fuzzy Multiple Objective Programming Method for Portfolio Investment

考虑了证券投资的预期收益率和风险的模糊性 ,利用多样化选择约束抵减证券投资的非系统风险 ,以证券组合投资的收益率极大化和β值极小化为目标 ,建立了一种新的基于模糊多目标规划的证券投资决策模型 ,指出了模型的求解方法 .

Based on considering the fuzzy property of the expected profit rates and investment risk for portfolio investment and using diversification selection constraints to counteract the non\|system risk, this paper presents a new fuzzy multiple objective programming model for the decision of securities investment with maximum of the expected rate of return and mimimum of the investment risk measured by \$β\$, and the method of solution is proposed.