一种基于区间数的证券组合投资模型与求解  

A Kind of Model for the Portfolio Investment Based on the Interval Number Programming and Its Solution

作　　者：林军[1] 

机构地区：[1]西南科技大学理学院,四川绵阳621010

出　　处：《数学的实践与认识》2007年第23期1-7,共7页Mathematics in Practice and Theory

基　　金：四川省教育厅科研基金(XHJJ05-03)

摘　　要：提出了区间数的相对左偏度的定义.利用区间数的相对左偏度作为区间数下表达证券风险损失率的一种补充,能合理地反映风险损失率与预期收益率之间的相关关系.建立了一种新的证券组合投资区间数规划模型,将区间数规划模型转化为参数线性规划问题求解,使证券组合投资决策分析更加具有柔性.最后通过实例分析了该模型的应用价值.We put forth the definition of left deviation degree of interval number. The risk rate under interval number is expressed by applying the left deviation degree of interval number, this risk rate can express the relation between risk rate and expected profit rate. A new interval number programming model for the portfolio investment is proposed, for its solution, the interval number programming mode is transformed into the linear programming problems with coefficients, the decision process is more flexible for the portfolio investment. Finally, the application value of the model is analyzed by a ease.

关 键 词：相对左偏度 组合投资 区间数规划 求解方法 

分 类 号：F830.9[经济管理—金融学] F224