摘要
对清晰和模糊两种情况下的组合投资问题进行了研究 ,提出了相应的模型和求解方法 .模型以绝对偏差和代替方差 ,假定交易费用函数为 V-型函数 ,给出了将目标函数中含有非线性项或含有非线性约束的优化模型转化为线性规划问题的一个简便方法 ,不仅大大地简化了模型的计算 ,更重要的是使得在线解决大型组合投资问题成为可能 .投资者的主观意见反映在模糊情况的组合投资模型之中 .最后通过一个例子来说明本文所提出的方法 。
In this paper, we study portfolio selection in crisp and fuzzy cases, respectively, and we propose corresponding model and algorithm in both cases. In two models, the risk is taken as the sum of the absolute deviation of the risky assets instead of covariance, the transaction cost is taken as V\|shaped function of the difference between the existing and new portfolio. An efficient way is given to transform an optimal problem with non\|linear objective function or non\|linear constraint into a linear problem, which alleviate the computational difficulty greatly. The investor's subjective impact is reflected in the model of the fuzzy decision\|making environment. Comparison and analysis of the two models is given via a numerical example.
出处
《系统工程理论与实践》
EI
CSCD
北大核心
2003年第1期99-104,共6页
Systems Engineering-Theory & Practice
