将给出证券组合投资分析的一个对策论方法 .将最小的可能收益作为风险的度量 ,将投资者的投资心理及证券市场的随机性考虑到模型之中 ,建立了证券组合投资的双层规划模型 ;对模型进行了理论分析、提出了求解算法 ;通过一个例子来说明如何用本文方法来进行证券组合投资分析.

This paper presents a game theory approach for portfolio selection. Taking the minimal possible return as the measurement of investment risk, we formulate a portfolio selection problem as bilevel programming model. We discuss the model and design an algorithm for solving the bilevel programming problem. Finally a numerical example is used to illustrate the approach proposed in this paper.