Optimization of the Portfolio Investment Based on Fuzzy Linear Programming
Yan Qi-sheng · Science Technology and Engineering · 2007
The key to the portfolio investment optimization is how to select a type of the more satisfying investment portfolio,and then to achieve it with the most efficient collocation between risk and return. L-R uzzy number is used to depict one stock's expected rate of the return and the risk rate, and builds up a fuzzy linear programming model on the portfolio investment ,trying to optimizate the portfolio investment.Finally, an applied example is given.