| 基于CWAA算子的投资组合决策模型 |
| |
| 引用本文： | 苏克平,周礼刚,陈华友. 基于CWAA算子的投资组合决策模型[J]. 武汉理工大学学报(信息与管理工程版), 2011, 33(4): 618-621. DOI: 10.3963/j.issn.1007-144X.2011.04.028 |
| |
| 作者姓名： | 苏克平 周礼刚 陈华友 |
| |
| 作者单位： | 安徽大学数学科学学院,安徽合肥,230039 |
| |
| 基金项目： | 国家自然科学基金资助项目(71071002); 安徽省优秀青年科技基金资助项目(0804106835); 安徽省高校青年教师科研基金资助项目(2007jq1017); 安徽大学青年科学研究基金资助项目(2009QN022B); 教育部学生实验性创新基金资助项目(091035701,101035702) |
| |
| 摘 要： | 建立了CVaR度量下基于CWAA算子的投资组合决策多目标规划模型,通过引入风险收益的权衡因子,将模型转化为混合整数规划模型,证明了两个模型解的等价性,通过算例说明了模型的有效性和实用性。
|
| 关 键 词： | CVaR CWAA算子 投资组合 多目标规划 |
Portfolio Decision- making Model with CWAA Operator under CVaR Measure |
| |
| SU Keping,ZHOU Ligang,CHEN Huayou. Portfolio Decision- making Model with CWAA Operator under CVaR Measure[J]. Journal of Wuhan University of Technology(Information & Management Engineering), 2011, 33(4): 618-621. DOI: 10.3963/j.issn.1007-144X.2011.04.028 |
| |
| Authors: | SU Keping ZHOU Ligang CHEN Huayou |
| |
| Affiliation: | SU Keping,ZHOU Ligang,CHEN Huayou Doctorial Candidate,School of Mathematical Sciences,Anhui University,Hefei 230039,China. |
| |
| Abstract: | A multi-objective programming model of portfolio decision-making was established with CWAA operator under CVaR measure.Through introducing a weighting factor of the risk and return,the model was transformed into a mixed-integer programming model;and the equivalence of the solutions between the two models was proved.A numerical example was given to demonstrate the efficiency and practical applicability of the model. |
| |
| Keywords: | CVaR CWAA operator portfolio multi-objective programming |
| 本文献已被 CNKI 万方数据 等数据库收录！ |
|
