欢迎您！东篱公司
退出
-
申报数据库
-
立项数据库
-
成果数据库
-
项目获奖数据库
中文摘要：
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.
英文摘要：
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.
同期刊论文项目
同项目期刊论文
An active-set projected trust-region algorithm with limited memory BFGS technique for box-constraine
Wei–Yao–Liu conjugate gradient projection algorithmfor nonlinear monotone equations with convex cons
A Limited-Memory BFGS Algorithm Based on a Trust-Region Quadratic Model for Large-Scale Nonlinear Eq
A Novel Parameter Estimation Method for Muskingum Model Using New Newton-Type Trust Region Algorithm
Inexact Accelerated Proximal Gradient Algorithm For Matrix l2,1-Norm Minimization Problem in Multi-T
期刊信息
位置：