多目标投资组合模型的模糊两阶段解法

journal6 ›› 2006, Vol. 27 ›› Issue (6): 18-21.

多目标投资组合模型的模糊两阶段解法

(1.湖南人文科技学院数学系，湖南娄底 417000；2.湖南大学工商管理学院,湖南长沙 410082；3.中南大学数学科学与计算技术学院，湖南长沙 410075)

出版日期:2006-11-25 发布日期:2012-06-28
作者简介:陈国华（1969－），男，湖南新化人，湖南人文科技学院讲师，湖南大学博士研究生，主要从事运筹学与数理金融研究.
基金资助:
国家自然科学基金资助项目(70221001)

A Fuzzy Two-Stage Algorithm for Multi-Objective Portfolio Selection Model

(1.Department of Mathematics，Hunan Institute of Humanities Science and Technology,Loudi 417000,Hunan China;2.School of Business Administration,Hunan University,Changsha 410082,China;3.School of Mathematical Science and Computing Technology,Central South University,Changsha 410075,China)

Online:2006-11-25 Published:2012-06-28

摘要/Abstract

摘要：对多目标证券组合投资模型进行了研究，模型以绝对偏差和代替方差作为投资组合的风险度量.该模型是一个多目标线性优化问题，采用两阶段模糊算法对模型进行求解，最后给出了该模型的一个实例的最优解.

关键词： 投资组合模型, 模糊两阶段解法, 多目标线性优化

Abstract: Multi-objective portfolio selection model is studied.In this model,the risk is taken as the sum of the absolute deviation of the risk assets instead of covariance.It is a multi-objective linear optimal problem.Fuzzy two-stage algorithm is applied to solve it.The optimum solution of an example about this portfolio model is given with this new algorithm.

Key words: portfolio selection model, fuzzy two-stage algorithm, multi-objective linear optimization

陈国华, 廖小莲. 多目标投资组合模型的模糊两阶段解法[J]. journal6, 2006, 27(6): 18-21.

CHEN Guo-Hua, LIAO Xiao-Lian. A Fuzzy Two-Stage Algorithm for Multi-Objective Portfolio Selection Model[J]. journal6, 2006, 27(6): 18-21.