摘要
提出证券组合投资分析的区间数线性规划方法.基于区间数线性规划问题的最优性条件将目标函数和约束条件均为区间数的区间数线性规划问题转化成目标函数为区间数的区间数线性规划问题.通过引入衡量投资者风险喜好的风险偏好系数α,将区间数线性规划问题转化为参数线性规划问题.使证券组合投资决策更加具有柔性.最后通过实例分析了该模型的应用价值.
In this paper,we put forth a kind of interval number linear programming method for the portfolio investment. Based on the optimal condition of interval number linear programming, the problem is transformed into interval number linear programming with interval numbers in the objective function. We also introduce a risk preference coefficient α to transform the interval number linear programming into the linear programming problems with real coefficients. With the method, the decision maker can specify an objective function to different degrees to obtain a corresponding satisfactory solution. Therefore, with the method the decision process is more flexible for the portfolio investment. Finally, the application value of the model is analyzed by a case.
出处
《系统工程学报》
CSCD
2004年第1期33-37,共5页
Journal of Systems Engineering
基金
国家杰出青年科学基金资助项目(79725002).
