| 一类投资组合模型的模糊两阶段算法 |
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| 引用本文： | 陈国华,廖小莲. 一类投资组合模型的模糊两阶段算法[J]. 湖南人文科技学院学报, 2007, 0(6): 1-2 |
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| 作者姓名： | 陈国华 廖小莲 |
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| 作者单位： | 1. 湖南人文科技学院,湖南,娄底,417000;湖南大学工商管理学院,湖南,长沙,410082
2. 湖南人文科技学院,湖南,娄底,417000 |
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| 基金项目： | 湖南省教育厅资助科研项目(07C389) |
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| 摘 要： | 对多目标证券组合投资模型进行了研究,模型以风险损失率作为风险。该模型是一多目标线性优化问题,我们采用模糊折衷算法对模型进行了求解,算例给出了该模型的一个实例的最优解。
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| 关 键 词： | 投资组合模型 模糊两阶段算法 多目标线性优化 风险损失率 |
| 文章编号： | 1673-0712(2007)06-0001-02 |
| 修稿时间： | 2007-09-07 |
Fuzzy Two-Stage Algorithm for a Category of Portfolio Selection Model |
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| CHEN Guo-hua,LIAO Xiao-lian. Fuzzy Two-Stage Algorithm for a Category of Portfolio Selection Model[J]. Journal of Hunan Institute of Humanities,Science and Technology, 2007, 0(6): 1-2 |
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| Authors: | CHEN Guo-hua LIAO Xiao-lian |
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| Affiliation: | CHEN Guo-hua 1,2,LIAO Xiao-lian 1 |
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| Abstract: | Multi-objective portfolio selection model is studied. In this model,the risk is taken as the risk rates of the risk assets instead of covariance.This model is a multi-objective linear optimal problem,Fuzzy twostage algorithm is applied to solve it.The optimum solution of an example about this portfolio model is given. |
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| Keywords: | portfolio selection model fuzzy two-stage algorithm multi-objective linear optimization risk rates |
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