摘要
提出了证券组合投资的区间数线性规划模型.通过引入区间数线性规划问题中的目标函数优化水平α和约束水平β将目标函数和约束条件均为区间数的线性规划问题转化为确定型的线性规划问题.投资者可以根据自己的风险喜好程度和客观情况,对这两个参数做出不同的估计,从而得到相应情况下的有效投资方案,使证券组合投资决策更具柔性.最后通过实例分析说明了该模型的可行性.
The paper presents model for interval number linear programming of portfolio investment. We introduce an optimal degree a in the objective function and α satisfactory degreeβ in the constraint conditions for interval number linear programming problem to transform them into parametric linear programming problem with real coefficients. The investor can properly estimate the two coefficients by his attitude to the risk and the objective circumstances, to obtain a corresponding effective investment scheme. Therefore, the investment process is more flexible. In the end, a numerical example is given to show the feasibility of the developed model.
出处
《大学数学》
北大核心
2007年第1期21-25,共5页
College Mathematics
基金
国家自然科学基金资助项目(70571001)
安徽省教育厅科研基金资助项目(070416245)
关键词
证券组合投资
区间数线性规划
优化水平
满足水平
有效解
portfolio investment
interval number linear programming
optimal degree
satisfactory degree
efficient solution
