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.
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.
出处
《内蒙古工业大学学报（自然科学版）》
2006年第2期150-154,共5页
Journal of Inner Mongolia University of Technology：Natural Science Edition
关键词
多目标规划
评价函数
理想点法
multi-obiectives programming
evaluation function
ideal point method
