基于可能度的模糊证券投资组合优化模型

摘要

T here exist the uncertainties in the portfolio investing market ,according to the concept of the triangle fuzzy number of fuzzy theory ,to construct the double objective fuzzy optimization model for the return rating and the risk rating .Giving fuzzy number‐level ,the problem can be transferred into the three single objective models :maximizing the net return rating model;minimax risk rating model;under the risk prejudiced the risk‐return model . Utilizing the concept of the possibility to achieve the corresponding the single objective the linear programming model .The calculating examples show that the approached methods are effective and feasible .%针对证券投资中存在的不确定性，采用模糊理论中的三角模糊数，解决投资收益率解决最大与风险损失率最小的双目标模糊优化问题。在模糊数λ－水平给定的情况下，将此问题转化为三个单目标的问题：净收益最大化模型；最大风险最小化模型；风险偏好下的风险收益模型。采用可能度的概念，得到相应的三个单目标清晰形式的线性规划模型。算例表明所提出的方法是有效和可行的。