A Risk-Return Model of Group Decision Making in Investment Fund

Shan Cun LIU;Wan Hua QIU;Cun Ping WEI;Shou Yang WANG

Systems Engineering - Theory & Practice ›› 2001, Vol. 21 ›› Issue (10) : 9-16.

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PDF(198 KB)
Systems Engineering - Theory & Practice ›› 2001, Vol. 21 ›› Issue (10) : 9-16. DOI: 10.12011/1000-6788(2001)10-9
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A Risk-Return Model of Group Decision Making in Investment Fund

  • Shan Cun LIU(1),Wan Hua QIU(2),Cun Ping WEI(2),Shou Yang WANG(3)
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Abstract

Investment fund is served as a popular tool by investors in portfolio selection problems. It can be operated by experts with special knowledge and experience. In this paper, return, risk and transaction costs are the main objectives concerned in our portfolio selection model. First, we aggregated the judgements of objectives and weights given by a group of experts to a group consensus judgements with relative entropy method (REM); Second, we construct the hierarchical goal programming, which can be translat...

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investment fund / group decision making / portfolio / relative entropy method / goal programming

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Shan Cun LIU , Wan Hua QIU , Cun Ping WEI , Shou Yang WANG. A Risk-Return Model of Group Decision Making in Investment Fund. Systems Engineering - Theory & Practice, 2001, 21(10): 9-16 https://doi.org/10.12011/1000-6788(2001)10-9
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