收益率为模糊数带弹性约束条件的组合选择模型  

Portfolio Selection Model for Fuzzy Return Rate with Elastic Restraints

作　　者：何建东[1] 

机构地区：[1]嘉兴职业技术学院,浙江嘉兴314036

出　　处：《成都大学学报（自然科学版）》2013年第2期202-205,共4页Journal of Chengdu University（Natural Science Edition）

摘　　要：证券市场中不确定的信息具有模糊性.将收益率视为梯形模糊数,分别用模糊数的可能性均值和平均绝对偏差来表示投资组合的收益和风险,考虑到目标函数和约束条件具有弹性,建立了模糊线性规划组合投资模型,并转化为普通线性规划问题求解,最后给出了数值计算实例.The uncertain information in stock market is characterized by fuzziness. This paper takes the rate of return as trapezoidal fuzzy number, and uses the possibilistic mean and the mean absolute deviation of fuzzy numbers respectively to describe the return and risk of portfolio. Considering the objective function and restraints flexible, we establish a fuzzy linear programming portfolio model, and convert it into the ordi- nary linear progrannning problem. Finally, an example of numerical calculation is given to illustrate the ef- fectiveness and reliance of the model.

关 键 词：投资组合选择 梯形模糊数 可能性均值 弹性约束条件 

分 类 号：F224.3[经济管理—国民经济] F830.91