具有模糊收益的项目投资组合优化方法

基于可能性理论,研究了投资项目具有模糊收益的多项目投资组合的决策问题。在假设投资项目各年净现金流为三角模糊数的条件下,运用可能性均值和方差,建立了基于现值指数法的单投资项目模糊收益指标和模糊风险评价指标,同时,在此基础上建立了基于模糊可能性均值与方差的多项目投资组合优化模型,提出了最优项目投资组合的算法。最后,给出实际算例说明了方法的可行性和有效性。

Optimization Method on Multi-Project Portfolio with Fuzzy Returns

The problem of project portfolio is considered based on possibility theory.Using the possibilistic mean and possibilistic variance of fuzzy numbers,the fuzzy return and risk evaluation indexes are proposed under the assumption that net cash flows of investment project are fuzzy variables.Then expand this method to multi-project portfolio selection and present the optimization model of project portfolio.Finally,a numerical example of project portfolio is given to illustrate the feasibility and the effectiven...