摘要
基于模糊集及模糊区间的概念,提出一种动态环境模糊投资组合模型。设计的重点为:(1)投资资产的收益率设计为区间模糊数;(2)风险率设计为三角模糊数。将建立的模糊投资组合模型转化为清晰数学规划问题,并将免疫优化算法对模型求解,数值实验中选取历史数据,将Lindo软件求解结果与免疫算法求解结果比较,充分表明免疫算法对模糊投资组合模型求解的有效性。
A fuzzy portfolio model, based on the definition of fuzzy sets and fuzzy interval, is proposed in dynamic environments. The key of designing is： （1） the return rate of portfolio is defined by the interval fuzzy number; （2） the risk rate of portfolio is designed by the triangular fuzzy number. Final, we transform the fuzzy portfolio model in dynamic environment into mathematical programming model, and solving over immune optimization algorithm. In number experience, the fuzzy portfolio model is compared again the Lindo soft with the existing data, the results illustrate the effectiveness of fuzzy portfolio model and the application of the algorithm.
出处
《安顺学院学报》
2012年第1期114-117,共4页
Journal of Anshun University
基金
贵州省自然科学基金项目资助(20090074)
安顺学院青年基金项目资助(2011AQ05)
