摘要
本文以国际证券平均实际本币收益率作为其预期收益的度量指标,以实际本币收益率与平均实际本币收益率的最大绝对偏差作为其投资风险的度量指标,建主国际证券组合最大投资风险极小化,预期本币收益率极大化的多目标线性规划投资决策模型.并给出有效国际证券组合的预期目标本币收益率法和偏好加权系数法.然后应用参数线性规划研究有效国际证券组合集的结构,给出有关结论和简单算例.
This paper applies the average practical foreign return as a measuring index of the expected foreign return and the largest absolute deviation between the practical foreign return and the average practical one as a measuring index of the investment risk for the intil national securities investment, and sets up the maltiobjective linear programming model for the decision of international securities investment with minimum of the largest investment risk and maximum of the expected foreign return.Iri also provides the expecred objective rate of foreign return method and the weighted partial coefficient method for the efficient international portfolios. Then, with the help of the parameteric linear programming it studies the structure of the efficient international portfolio's set and gives some conclusions and a simple example.
出处
《系统工程》
CSCD
1998年第1期26-32,共7页
Systems Engineering
基金
浙江省教委科研基金资助
关键词
国际证券投资
线性规划
多目标决策
证券投资
International Securities Investment, Multiobjective Linear Programming Model, Efficient International Portfolio, Expected Objective Rale of Foreign Return Method, Weighted Partial Coefficient Method
