随机最优证券投资组合模型  

The Optimal Models of Combined Securities with Stochastic Variables

作　　者：任建芳[1] 赵瑞清[1] 鲍兰平 

机构地区：[1]军械工程学院基础部,河北石家庄050003

出　　处：《系统工程理论与实践》2000年第9期14-18,共5页Systems Engineering-Theory & Practice

摘　　要：讨论了当投资的预期收益率和风险损失率为随机变量时 ,证券投资组合模型的优化问题 .并分别建立了证券投资组合决策系统的期望值模型及机会约束规划模型 .最后设计了基于随机模拟的遗传算法 。This paper provides the expected value models and chance constrained programming models for the optimal problem of the combined securities in which profit rates and risk rates are stochastic variables. A stochastic simulation based on genetic algorithm for solving the expected value models and chance constrained programming models with stochastic parameters is also documented and illustrated by numerical examples.

关 键 词：随机模拟 遗传算法 证券市场 证券投资 

分 类 号：F830.91[经济管理—金融学]