{"title":"资产组合选择的多目标规划模型","authors":"Wenguang Tang, Fenxia Zhao","doi":"10.1109/CSO.2011.171","DOIUrl":null,"url":null,"abstract":"This paper presents a multi-objective programming model for the asset portfolio selection problem. Use the idea of fuzzy sets to set up the membership function of the objective function for providing the satisfaction degree to the return and risk of the portfolio. Then the approach is used to achieve the high test degree of each of the membership functions and abtain the satisfactary solution for the decision maker. Numerical examples are given to demonstrate the proposed approach.","PeriodicalId":210815,"journal":{"name":"2011 Fourth International Joint Conference on Computational Sciences and Optimization","volume":"45 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2011-04-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"Multi-objective Programming Model for Asset Portfolio Selection\",\"authors\":\"Wenguang Tang, Fenxia Zhao\",\"doi\":\"10.1109/CSO.2011.171\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper presents a multi-objective programming model for the asset portfolio selection problem. Use the idea of fuzzy sets to set up the membership function of the objective function for providing the satisfaction degree to the return and risk of the portfolio. Then the approach is used to achieve the high test degree of each of the membership functions and abtain the satisfactary solution for the decision maker. Numerical examples are given to demonstrate the proposed approach.\",\"PeriodicalId\":210815,\"journal\":{\"name\":\"2011 Fourth International Joint Conference on Computational Sciences and Optimization\",\"volume\":\"45 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2011-04-15\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"2011 Fourth International Joint Conference on Computational Sciences and Optimization\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1109/CSO.2011.171\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"2011 Fourth International Joint Conference on Computational Sciences and Optimization","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1109/CSO.2011.171","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Multi-objective Programming Model for Asset Portfolio Selection
This paper presents a multi-objective programming model for the asset portfolio selection problem. Use the idea of fuzzy sets to set up the membership function of the objective function for providing the satisfaction degree to the return and risk of the portfolio. Then the approach is used to achieve the high test degree of each of the membership functions and abtain the satisfactary solution for the decision maker. Numerical examples are given to demonstrate the proposed approach.
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