| 带固定交易费用的模糊投资组合 |
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| 引用本文： | 成央金,余双,罗晓琴,于瑞华.带固定交易费用的模糊投资组合[J].吉首大学学报(自然科学版),2013,34(5):21-26. |
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| 作者姓名： | 成央金 余双 罗晓琴 于瑞华 |
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| 作者单位： | (湘潭大学数学与计算科学学院,湖南 湘潭 411105) |
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| 基金项目： | 国家自然科学基金资助项目（51075345） |
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| 摘 要： | 基于区间规划的方法，研究了带固定交易费用下的模糊投资组合模型.在模型中引进正态隶属函数；考虑投资组合风险偏好时，修改了一般投资组合中风险偏好方法定义方法，使其更符合区间规划；在考虑未来回报率时，考虑了符合实际情况的因素--涨跌停板；引进新的流动性的定义方法，改正了以往用换手率带来的缺陷.
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| 关 键 词： | 组合投资 区间规划 正态隶属函数 涨跌停板 |
Fuzzy Portfolio with Fixed Transaction Costs |
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| CHENG Yang-jin,YU Shuang,LUO Xiao-qin,YU Rui-hua.Fuzzy Portfolio with Fixed Transaction Costs[J].Journal of Jishou University(Natural Science Edition),2013,34(5):21-26. |
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| Authors: | CHENG Yang-jin YU Shuang LUO Xiao-qin YU Rui-hua |
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| Affiliation: | (School of Mathematics of Computational Science,Xiangtan University,Xiangtan 411105,Hunan China) |
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| Abstract: | This paper, based on the interval planning method, studies the fuzzy portfolio selection modelwith fixed transaction costs. The model introduces the function of normal membership,and at the same time,considers the portfolio risk preference. The general portfolio risk preference method definition method is thus modified,which is more consistent with the interval programming, and taking into ac- count the future rate of return, considers the actual situation factors-limit up and limit down. New liquidi- ty definition method is introduced, and the previous defect brought out by turnover rate is overcome. |
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| Keywords: | portfolio interval planning function of normal membership limit up and limit down |
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