| 理想点法在证券投资组合中的应用 |
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| 引用本文： | 严斌,董进全.理想点法在证券投资组合中的应用[J].内蒙古工业大学学报,2006,25(2):150-154. |
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| 作者姓名： | 严斌 董进全 |
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| 作者单位： | 内蒙古工业大学管理学院 呼和浩特010051 |
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| 摘 要： | 本文将理想点法应用于证券投资组合的求解,基本思想是分别求解投资组合问题关于期望收益最大化、方差风险最小化以及期望效用最大化三个单目标问题的最优解,再通过构造评价函数求解目标问题的满意解.理论分析和实例计算均说明本文提出的方法有较好的可操作性.
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| 关 键 词： | 多目标规划 评价函数 理想点法 |
| 文章编号： | 1001-5167(2006)02-0150-05 |
| 收稿时间： | 2005-10-18 |
| 修稿时间： | 2005年10月18 |
THE APPLICATION OF IDEAL POINT METHOD TO PORTFOLIO INVESTMENT |
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| YAN Bin,DONG Jin-quan.THE APPLICATION OF IDEAL POINT METHOD TO PORTFOLIO INVESTMENT[J].Journal of Inner Mongolia Polytechnic University(Social Sciences Edition),2006,25(2):150-154. |
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| Authors: | YAN Bin DONG Jin-quan |
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| Institution: | School of Management,Inner Mongolia University of Technology, Hohhot 010051, China |
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| Abstract: | In this paper,the ideal point method is applied to the solution of portfolio investment problems(PIP).The whole process involves two steps.First,optimization problems of three objective functions,namely,Expected Return,Risk Diminution and Expected Utility,are solved.Then,a relatively optimall solution of PIP is obtained by solving an optimization problem related to some evaluation function.Practicality of the method proposed in this paper is proven by both theoretical analysis and instance computation. |
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| Keywords: | multi-objectives programming evaluation function ideal point method |
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