基于区间数收益率的投资组合选择模型

摘要

This paper discusses the problem of the portfolio with return rate of interval number. According to the securities historical data of the highest price, the lowest price and the opening price we got the interval number estimated value of the stock returns. Based on the absolute deviation function, expectations operator of interval number and distance, we built a linear programming model and derived the optimal decisions for the portfolio. Finally, the effectiveness of the method had been proved by the experience.%为研究收益率为区间数的投资组合问题,根据证券历史数据的最高价、最低价和开盘价计算得到证券收益率的区间数估计值,基于绝对偏差风险函数、区间数的期望值算子和距离概念建立了一个投资组合的线性规划模型,从而得到最优投资组合决策.通过实例说明该方法的有效性.