证券组合投资选择模型的模糊优化  

Fuzzy Optimization for Portfolio Investment Model

作　　者：黄文华[1] 王仁明[1] 

机构地区：[1]三峡大学电气信息学院,湖北宜昌443002

出　　处：《三峡大学学报（自然科学版）》2005年第6期574-576,共3页Journal of China Three Gorges University：Natural Sciences

摘　　要：以证券组合的期望收益率及风险损失率为目标函数,研究了在这两个目标下证券投资组合的模糊模型及其优化问题,并利用S型隶属函数将模型转化为普通线性规划模型进行求解,最后给出了一个具体的例子来阐述方法的有效性.Taking the anticipated profit rate and risk rate of portfolio as the objective function, the fuzzy model of portfolio and optimization problem are studied. To solve it, an approach is worked out by converting the fuzzy model into an ordinary linear programming with S-shaped membership function. Finally, an example is given to illustrate the validity of the approach.

关 键 词：证券组合 收益率 风险损失率 模糊隶属函数 

分 类 号：O211.9[理学—概率论与数理统计] F830[理学—数学]