基于区间规划的投资组合模型  

A model for portfolio selection based on interval programming

作　　者：陈国华[1] 廖小莲[1] 

机构地区：[1]湖南人文科技学院数学系,湖南娄底417000

出　　处：《辽宁工程技术大学学报（自然科学版）》2010年第5期835-838,共4页Journal of Liaoning Technical University (Natural Science)

基　　金：湖南省教育厅基金资助项目(07C389)

摘　　要：为了研究不确定环境下的投资组合问题,将模糊区间集合的概念引入投资组合模型中,利用证券组合投资的收益率极大化为目标,以投资组合模型中的β值和流动性为约束建立了一种区间规划投资组合模型(IMβL),利用区间数知识把区间规划投资组合模型(IMβL)转化为带参数的线性规划模型,该方法对投资者具有一定的参考价值和指导意义。In order to study the problem of portfolio selection under uncertainty environment,a fuzzy interval set was applied to portfolio selection model. To maximize the profit rate of a security portfolio under constraints of β and liquidity,an interval programming portfolio selection model was established （IMβL）. Subsequently,IMβL was transformed into parameter linear programming by means of the knowledge of interval numbers. This method demonstrates its value and significance to investors.

关 键 词：投资组合选择模型 区间规划 Β约束 流动性 

分 类 号：O221[理学—运筹学与控制论] F830.59[理学—数学]