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如何选择一个满意的投资组合,在既定条件下实现一个最有效率的风险一收益搭配,是证券投资组合的关键问题。本文在分析Markowitz模型及其发展的基础上提出了一种新的证券组合投资选择模型,与Markowitz模型相比更容易实践,通过建立和求解证券投资风险最小化模糊线性规划模型和投资收益最大化模糊线性规划模型,试图优化证券投资组合,从而作出科学的投资决策。文章最后给出应用示例。
How to choose a satisfactory investment portfolio, and to achieve the most efficient risk-benefit combination under the given conditions, is the key issue of the securities investment portfolio. Based on the analysis of the Markowitz model and its development, this paper proposes a new portfolio investment choice model, which is easier to implement than the Markowitz model. By establishing and solving the risk minimization of the fuzzy linear programming model and maximizing the return on investment, Fuzzy linear programming model, trying to optimize the securities investment portfolio, so as to make a scientific investment decision. Finally, the article gives an example of the application.