摘要
本文基于区间规划的方法研究了摩擦市场的投资组合选择问题。文中把风险证券的收益率、投资风险及证券的流动性用区间数来描述,并结合绝对偏差风险函数的思想建立了一种关于区间数的证券投资组合选择模型。最后利用区间数的两种序关系将所提出的模糊线性规划问题转化为普通的参数线性规划问题进而求其解。
This paper studies portfolio selection models in a frictional securities market based on interval programming, considering the returns, risk and the liquidity of the risky security as interval number, and combining with absolute deviation risk function, we propose a model for portfolio selection about interval number. Based on two kinds of preference relations, the fuzzy liner programming problem can be transformed to a ordinary parametric linear programming problem and be solved.
出处
《价值工程》
2007年第9期63-66,共4页
Value Engineering
基金
陕西省教育厅自然科学专项基金资助项目(06JK286)。
关键词
组合投资
流动性
区间数
区间序关系
线性规划
portfolio selection
liquidity of security
interval number
order relation
liner programming
