分式规划模糊投资组合模型的遗传算法求解  

A Genetic Algorithm for Fractional Programming Fuzzy Portfolio Selection Model

作　　者：陈国华[1,2] 陈收[2] 廖小莲[1] 

机构地区：[1]湖南人文科技学院数学与应用数学系,湖南娄底417000 [2]湖南大学工商管理学院,湖南长沙410082

出　　处：《模糊系统与数学》2009年第5期163-167,共5页Fuzzy Systems and Mathematics

基　　金：国家自然科学基金资助项目(70221001);国家社会科学基金资助项目(05BJY010);湖南省教育厅科研项目(07C389)

摘　　要：将预期收益率表示为模糊数,以E-SV风险测度为基础给出了组合证券投资决策的效用函数,并建立了基于分式规划的模糊投资组合选择模型,考虑到模型求解的复杂性,我们利用遗传算法构造罚函数对模型进行了求解,并通过实例,验证了该模型解法的可行性和有效性。In this paper,expected rate of return is expressed as fuzzy numbers,a portfolio selection utility function based on E-SV risks measure is advanced,and then the portfolio selection model based on the fractional programming is built. Taking into account the complexity of solving the model,the model is solved by use of genetic algorithm by constructing penalty function of,the paper illustrates the feasibility and effectiveness of the algorithm with a practical example.

关 键 词：模糊收益率 投资组合模型 分式规划 分式效用函数 遗传算法 

分 类 号：O221[理学—运筹学与控制论] F830[理学—数学]