| 基于区间数收益率的投资组合选择模型 |
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| 引用本文： | 范婷,曾玲,霍忠诚.基于区间数收益率的投资组合选择模型[J].桂林电子科技大学学报,2012,32(2):167-169. |
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| 作者姓名： | 范婷 曾玲 霍忠诚 |
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| 作者单位： | 桂林电子科技大学 数学与计算科学学院,广西 桂林,541004 |
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| 摘 要： | 为研究收益率为区间数的投资组合问题,根据证券历史数据的最高价、最低价和开盘价计算得到证券收益率的区间数估计值,基于绝对偏差风险函数、区间数的期望值算子和距离概念建立了一个投资组合的线性规划模型,从而得到最优投资组合决策.通过实例说明该方法的有效性.
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| 关 键 词： | 投资组合 区间数 期望值算子 区间数距离 |
Model for portfolio selection based on interval number return rates |
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| Fan Ting
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Zeng Ling
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Huo Zhongcheng.Model for portfolio selection based on interval number return rates[J].Journal of Guilin Institute of Electronic Technology,2012,32(2):167-169. |
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| Authors: | Fan Ting Zeng Ling Huo Zhongcheng |
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| Affiliation: | (School of Mathematics and Computing Science,Guilin University of Electronic Technology,Guilin 541004,China) |
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| Abstract: | This paper discusses the problem of the portfolio with return rate of interval number.According to the securities historical data of the highest price,the lowest price and the opening price we got the interval number estimated value of the stock returns.Based on the absolute deviation function,expectations operator of interval number and distance,we built a linear programming model and derived the optimal decisions for the portfolio.Finally,the effectiveness of the method had been proved by the experience. |
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| Keywords: | portfolio interval number expected value operator interval number distance |
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