【作者】 黄文华； 王仁明；

【Author】 Huang Wenhua Wang Renming (College of Electrical Engineering & Information Science, China Three Gorges Univ. , Yichang 443002, China)

【机构】 三峡大学电气信息学院；

【摘要】 利用模糊数来描述某种证券的期望收益率和风险损失率,从而建立了一种全系数模糊证券投资组合模型,并讨论了利用模糊约束满意度将模型转化为普通规划模型的方法．进一步设计了一种遗传算法对该模型进行求解,最后给出了一个具体的例子来阐述方法的有效性．更多还原

【Abstract】 This paper provides a portfolio model with all fuzzy-coefficient in which profit rates and risk rates are fuzzy numbers. The method for converting the model to an ordinary programming model by the satisfaction of constraints is discussed. After that, a genetic algorithm is designed to solve the model. Finally, an example is given to illustrate the validity of the approach.更多还原