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首先建立了摩擦市场条件下基于收益率分布偏度水平的双目标投资组合模型.在此基础上,将模糊集合的概念引入到该模型中,用模糊数学中的线性隶属函数处理了其中的风险目标和收益目标,建立了摩擦市场条件下基于收益率分布偏度水平的模糊型双目标投资组合模型.然后,针对该模型进行了新型遗传算法设计(动态遗传算法).最后用一个具体的算例给出了该模型的一个实例最优解,体现了多样化投资分散风险的组合投资原理.
First, we set up a two-objective portfolio model based on the distribution of returns in the friction market, and then introduce the concept of fuzzy sets to the model, and deal with the risk by the linear membership function in fuzzy mathematics Goal and profit target, a fuzzy two-objective portfolio model based on the distribution of returns rate under friction market conditions is established.Then, a new type of genetic algorithm (dynamic genetic algorithm) is designed for the model.At last, An example is given to give an example of the optimal solution of the model, which reflects the principle of portfolio investment diversified investment diversification risk.