CAJ | 학술논문

基于模糊集及模糊区间的概念,提出一种动态环境模糊投资组合模型。设计的重点为：（1）投资资产的收益率设计为区间模糊数;（2）风险率设计为三角模糊数。将建立的模糊投资组合模型转化为清晰数学规划问题,并将免疫优化算法对模型求解,数值实验中选取历史数据,将Lindo软件求解结果与免疫算法求解结果比较,充分表明免疫算法对模糊投资组合模型求解的有效性。
기우모호집급모호구간적개념,제출일충동태배경모호투자조합모형。설계적중점위：（1）투자자산적수익솔설계위구간모호수;（2）풍험솔설계위삼각모호수。장건립적모호투자조합모형전화위청석수학규화문제,병장면역우화산법대모형구해,수치실험중선취역사수거,장Lindo연건구해결과여면역산법구해결과비교,충분표명면역산법대모호투자조합모형구해적유효성。
A fuzzy portfolio model, based on the definition of fuzzy sets and fuzzy interval, is proposed in dynamic environments. The key of designing is：（1） the return rate of portfolio is defined by the interval fuzzy number; （2） the risk rate of portfolio is designed by the triangular fuzzy number. Final, we transform the fuzzy portfolio model in dynamic environment into mathematical programming model, and solving over immune optimization algorithm. In number experience, the fuzzy portfolio model is compared again the Lindo soft with the existing data, the results illustrate the effectiveness of fuzzy portfolio model and the application of the algorithm.