摘要
建立了一个以收益最大、风险最小、换手率偏好最大为目标的新的证券投资组合区间规划模型,利用理想点法以及线性加权和法对该模型进行求解。结合算例分析,说明了该模型的可行性,然后对两种解法进行了比较。
We establish a new portfolio multiobjective model of interval programming,which sets the maximum benefits, the mini mum risk and the maximum turnover rate as the objectives, and solve the model using the ideal point method and the linearity weighted method, respectively. Combining with an example, we analyze the feasibility of this model, and compare these two methods.
出处
《济南大学学报(自然科学版)》
CAS
北大核心
2014年第3期215-219,共5页
Journal of University of Jinan(Science and Technology)
基金
国家自然科学基金(11101029)
关键词
证券投资组合
多目标规划
区间数
理想点法
线性加权和法
portfolio selection
multi-objective programming
interval number
ideal point method
linearity weighted method