A Kind of Fuzzy Multiple Objective Programming Method for Portfolio Investment

Cun Zhi GUO;Cui Yong ZHENG

Systems Engineering - Theory & Practice ›› 2001, Vol. 21 ›› Issue (1) : 21-24.

PDF(170 KB)
PDF(170 KB)
Systems Engineering - Theory & Practice ›› 2001, Vol. 21 ›› Issue (1) : 21-24. DOI: 10.12011/1000-6788(2001)1-21
论文

A Kind of Fuzzy Multiple Objective Programming Method for Portfolio Investment

  • Cun Zhi GUO(1),Cui Yong ZHENG(2)
Author information +
History +

Abstract

Based on considering the fuzzy property of the expected profit rates and investment risk for portfolio investment and using diversification selection constraints to counteract the non-system risk, this paper presents a new fuzzy multiple objective programming model for the decision of securities investment with maximum of the expected rate of return and mimimum of the investment risk measured by β, and the method of solution is proposed.

Key words

portfolio investment / expected rate of return / risk / fuzzy multiobjective programming

Cite this article

Download Citations
Cun Zhi GUO , Cui Yong ZHENG. A Kind of Fuzzy Multiple Objective Programming Method for Portfolio Investment. Systems Engineering - Theory & Practice, 2001, 21(1): 21-24 https://doi.org/10.12011/1000-6788(2001)1-21
PDF(170 KB)

731

Accesses

0

Citation

Detail

Sections
Recommended

/