投资基金群决策风险-收益模型  

A Risk-Return Model of Group Decision Making in Investment Fund

作　　者：刘善存[1] 邱菀华[2] 魏存平[2] 汪寿阳 

机构地区：[1]北京航空航天大学应用数学系,北京100083 [2]北京航空航天大学管理学院,北京100083 [3]国家自然科学基金委,北京100083

出　　处：《系统工程理论与实践》2001年第10期9-16,82,共9页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金 (7993 0 90 0 )

摘　　要：投资基金是一种主要用于证券投资的大众化工具 ,其特点是募集社会公众投资者基金 ,委托具有专门知识和经验的专家经营操作 ,并将最终的收益分配给投资者 .本文综合考虑收益、风险和交易费用三个目标 ,讨论了含有无风险资产的证券组合投资问题 ;首先利用相对熵方法 ,将专家群体对目标和权重的建议水平及其偏好集结成群体偏好和目标 ,然后建立相应的目的规划 ,并将目的规划问题等价地转化为两个线性规划问题 ;给出了算例 .Investment fund is served as a popular tool by investors in portfolio selection problems. It can be operated by experts with special knowledge and experience. In this paper, return, risk and transaction costs are the main objectives concerned in our portfolio selection model. First, we aggregated the judgements of objectives and weights given by a group of experts to a group consensus judgements with relative entropy method (REM); Second, we construct the hierarchical goal programming, which can be translated into two linear programming equivalently. Last, a numerical example was given.

关 键 词：投资基金 群体决策 投资组合 相对熵方法 风险-收益模型 证券市场 

分 类 号：F830.91[经济管理—金融学]