摘要
对多目标证券组合投资模型进行了研究,该模型用于解决多目标线性优化问题,模型以绝对偏差和代替方差、以换手率刻画流动性。研究考虑到了投资者的效用函数,采用理想点法对模型进行了求解,便于实际操作;通过实例分析了该模型的应用价值。
A multi-objective portfolio selection （ MADL ） is studied, which solves multi-objective linear optimal problems. The model replaces the risk with the sum of the absolute deviation and depicts liquidity by turnover. Considers the utility function about investors and applies an ideal point method for solving the model, which facilitates the actual operation. Finally analyzes the application value of the model through examples.
出处
《湖南工业大学学报》
2010年第1期47-49,56,共4页
Journal of Hunan University of Technology
基金
湖南省教育厅科研基金资助项目(07C389)
关键词
多目标规划
证券投资组合
理想点法
流动性
multi-objective programming
portfolio selection model
an ideal point method
liquidity
