| 引用本文： |
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陈宁,李晓清,韦增欣.带有流动性的模糊投资组合优化模型[J].广西科学,2015,22(2):216-219. [点击复制]
- CHEN Ning,LI Xiao-qing,WEI Zeng-xin.Fuzzy Portfolio Optimization Model with Liquidity[J].Guangxi Sciences,2015,22(2):216-219. [点击复制]
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| 摘要: |
| 用三角模糊数描述证券的收益率,同时基于流动性与证券收益之间存在的负相关关系,设置流动性的效用函数,从而建立一种考虑流动性的多目标投资组合优化模型,再将多目标模型转化为单目标模型,用Lagrange乘子法求解并进行数值试验. |
| 关键词: 投资组合模型 流动性 三角模糊数 有效边界 |
| DOI：10.13656/j.cnki.gxkx.20140504.004 |
| 投稿时间：2014-04-28修订日期：2014-05-10 |
| 基金项目:国家自然科学基金项目(11161003)资助。 |
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| Fuzzy Portfolio Optimization Model with Liquidity |
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CHEN Ning, LI Xiao-qing, WEI Zeng-xin
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| (Mathematics and Information Technology Department, Guangxi University, Nanning, Guangxi, 530004, China) |
| Abstract: |
| This paper builds a multi-objective functions model with possibilistic mean, possibilistic covariance and liquidity based on the negative correlation between stocks' liquidity and their returns.Lagrange multiplier method is used to solve the problem after transform of the multi-objective functions model into a single objective function model, and numerical experiment is given at last. |
| Key words: portfolio model liquidity triangular fuzzy number efficient boundary |
