The Ratio of Profit to Risk is Taken as Decision Object in Portfolio Selection
Youjun Li · 2009
Considering the case in which fuzziness must be treated,this paper concentrates on two core problems of the decision process from the angle of fuzziness.One is the acquirement of anticipation profit rate and the other is the estimate of risk,and the techniques for modeling the portfolio selection with fuzzy information are discussed.In order to give attention to the profit rate and the risk at the same time,a one-objective decision method is given by compromised with the minimum of investment risk on the maximum of profit.First of all,the model is established by the ratio of profit to risk as the decision object.Next,the method of the solution is proved with the steps.Finally,the algorithm for seeking the solution is given.