摘要
讨论了当投资的预期收益率和风险损失率为随机变量时 ,证券投资组合模型的优化问题 .并分别建立了证券投资组合决策系统的期望值模型及机会约束规划模型 .最后设计了基于随机模拟的遗传算法 。
This paper provides the expected value models and chance constrained programming models for the optimal problem of the combined securities in which profit rates and risk rates are stochastic variables. A stochastic simulation based on genetic algorithm for solving the expected value models and chance constrained programming models with stochastic parameters is also documented and illustrated by numerical examples.
出处
《系统工程理论与实践》
EI
CSCD
北大核心
2000年第9期14-18,共5页
Systems Engineering-Theory & Practice
关键词
随机模拟
遗传算法
证券市场
证券投资
combined securities
expected valued models
genetic algorithms
