基于极大模理想点法的投资组合决策模型分析  

Analysis on Portfolio Decision Model Based on Maximum Module Ideal Point Method

作　　者：邓雪[1,2] 李荣钧[2] 

机构地区：[1]华南理工大学工商管理学院,广东广州510640 [2]华南理工大学理学院数学系,广东广州510640

出　　处：《经济数学》2010年第3期47-52,共6页Journal of Quantitative Economics

基　　金：广东省软科学研究项目(2008B070800012)

摘　　要：基于马克维茨投资组合模型的均值一方差理论,构建一种投资组合收益和风险在一定范围的双目标线性模糊优化模型,并尝试采用极大模理想点法来求解该模型.最后,给出一实际算例,对一具体投资组合模型进行研究,结果表明:本文所采用的极大模理想点法是可行的、有效的;本文所采用的算法比已有文献给出的模糊线性规划法具有更加广泛意义的优化结果.Based on Markowitz＇s mean-variance portfolio model theory, we proposed a bi-objective linearly fuzzy optimal model with bound constraints of expected return and risk, and tried to solve it by using maximum module ideal point method. Finally, a numerical example of portfolio model was given to illustrate the proposed model. Compared with the fuzzy linear programming method used in reference, the results show that the used maximum module ideal point method is feasible and effective, and more comprehensive effective results can be obtained by using maximum module ideal point method.

关 键 词：投资组合 理想点法 线性规划 有效解 有效边界 

分 类 号：F830[经济管理—金融学]