CAJ | 학술논문

用三角模糊数描述证券的收益率，同时基于流动性与证券收益之间存在的负相关关系，设置流动性的效用函数，从而建立一种考虑流动性的多目标投资组合优化模型，再将多目标模型转化为单目标模型，用 Lagrange乘子法求解并进行数值试验。
용삼각모호수묘술증권적수익솔，동시기우류동성여증권수익지간존재적부상관관계，설치류동성적효용함수，종이건립일충고필류동성적다목표투자조합우화모형，재장다목표모형전화위단목표모형，용 Lagrange승자법구해병진행수치시험。
This paper builds a multi-obj ective functions model with possibilistic mean,possibi-listic covariance and liquidity based on the negative correlation between stocks'liquidity and their returns.Lagrange multiplier method is used to solve the problem after transform of the multi-obj ective functions model into a single obj ective function model,and numerical experi-ment is given at last.