资产组合选择的多目标规划模型

2011 Fourth International Joint Conference on Computational Sciences and Optimization Pub Date : 2011-04-15 DOI:10.1109/CSO.2011.171

Wenguang Tang, Fenxia Zhao

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引用次数: 1

摘要

针对资产组合选择问题，提出了一个多目标规划模型。利用模糊集的思想建立目标函数的隶属函数，以提供对投资组合收益和风险的满意程度。然后利用该方法实现各隶属函数的高测试度，得到决策者满意的解。最后给出了数值算例。

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Multi-objective Programming Model for Asset Portfolio Selection

This paper presents a multi-objective programming model for the asset portfolio selection problem. Use the idea of fuzzy sets to set up the membership function of the objective function for providing the satisfaction degree to the return and risk of the portfolio. Then the approach is used to achieve the high test degree of each of the membership functions and abtain the satisfactary solution for the decision maker. Numerical examples are given to demonstrate the proposed approach.

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2011 Fourth International Joint Conference on Computational Sciences and Optimization

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