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Markowitz提出的证券投资组合选择是最早的关于证券组合投资的数理方法。近年来,Konno.H等提出了大规模证券组合选择的有效算法。但是,都没有考虑投资者在证券选择时的满意度,不能事前给出对风险指标的目标控制值。本文以目标期望收益率、风险价值VAR为目标,采用模糊优化方法,反映投资者对希望水平的满意度,运用进化规划算法,对投资组合选择进行研究。
Markowitz's portfolio of securities options is the earliest mathematical approach to portfolio investment. In recent years, Konno.H proposed an efficient algorithm for large-scale portfolio selection. However, they do not consider the satisfaction of investors in the choice of securities, and can not give objective control over the risk index in advance. In this paper, the target expected rate of return, risk value VAR as the goal, the use of fuzzy optimization method to reflect the level of investor satisfaction with the hope, the use of evolutionary programming algorithm to study the choice of portfolio.