摘要
目前投资种类繁多且风险各异,投资者很难选取收益较高而风险较低的可操作性投资组合.针对这一问题,利用多目标规划的方法建立投资组合优化问题的一般模型,在合理假设的基础上将多目标规划问题转化为单目标规划问题,使模型简化更具有可操作性.采用Matlab对实例进行计算,验证了所提方法的可行性和实效性.
Currently,there are various different investment risks,so it is hard for investors to select an operational portfolio with high income and low risk.In allusion to this problem,the study utlizes the method of multiobjective programming to set up the general model of portfolio optimization,and on the basis of reasonable hypothesis,the multiobjective programming problem is transformed into a single objective programming which is more operational.Matlab is used to calculate the example,which has verified the effectiveness and fea-sibility of the proposed method.
出处
《长沙大学学报》
2014年第5期9-11,共3页
Journal of Changsha University
关键词
多目标规划
最优投资组合
收益
风险
MATLAB
multiobjective programming
optimal portfolio
Matlab
income
risk
