CAJ | 학술논문

针对证券投资中存在的不确定性，采用模糊理论中的三角模糊数，解决投资收益率解决最大与风险损失率最小的双目标模糊优化问题。在模糊数λ－水平给定的情况下，将此问题转化为三个单目标的问题：净收益最大化模型；最大风险最小化模型；风险偏好下的风险收益模型。采用可能度的概念，得到相应的三个单目标清晰形式的线性规划模型。算例表明所提出的方法是有效和可行的。
침대증권투자중존재적불학정성，채용모호이론중적삼각모호수，해결투자수익솔해결최대여풍험손실솔최소적쌍목표모호우화문제。재모호수λ－수평급정적정황하，장차문제전화위삼개단목표적문제：정수익최대화모형；최대풍험최소화모형；풍험편호하적풍험수익모형。채용가능도적개념，득도상응적삼개단목표청석형식적선성규화모형。산례표명소제출적방법시유효화가행적。
T here exist the uncertainties in the portfolio investing market ,according to the concept of the triangle fuzzy number of fuzzy theory ,to construct the double objective fuzzy optimization model for the return rating and the risk rating .Giving fuzzy number‐level ,the problem can be transferred into the three single objective models :maximizing the net return rating model;minimax risk rating model;under the risk prejudiced the risk‐return model . Utilizing the concept of the possibility to achieve the corresponding the single objective the linear programming model .The calculating examples show that the approached methods are effective and feasible .