A Class of Stochastic Programming Model in Investment Portfolio Based on Covering Rough Set
Lei Zhou, Dongli Zhang · Mathematical Problems in Engineering · 2022
In order to study the investment portfolio problem, this paper propose a class of stochastic programming model with rough feasible region, where randomness and roughness coexist. Based on the covering rough set, the concept of the discrete degree covering is defined to divide the rough feasible region. Furthermore, the discrete degree covering stochastic rough programming model (DDC-SRP) is constructed depending on a synthesis effect function that considers discrete degree and the expectation and variance for random objective function. Properties of the DDC-SRP model are discussed. In addition, the convexity of the DDC-SRP model is obtained in some certain conditions. Considering the random rough simulation, a genetic algorithm is introduced. Finally, a numerical example is given to show the validity of the DDC-SRP model.