Нечіткий фондовий портфель. Дослідження та оптимізація

A fuzzy stock portfolio whose membership functions are triangular is studied. The risk-profit relationship is investigated for various assets of membership functions and criterion values. It is shown that the general optimization problem may be reduced to the two-dimensional case, and some algorithm...

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Збережено в:
Бібліографічні деталі
Дата:2010
Автор: Murga, N. А.
Формат: Стаття
Мова:rus
Опубліковано: The National Technical University of Ukraine "Igor Sikorsky Kyiv Polytechnic Institute" 2010
Онлайн доступ:http://journal.iasa.kpi.ua/article/view/106924
Теги: Додати тег
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Назва журналу:System research and information technologies

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System research and information technologies
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Резюме:A fuzzy stock portfolio whose membership functions are triangular is studied. The risk-profit relationship is investigated for various assets of membership functions and criterion values. It is shown that the general optimization problem may be reduced to the two-dimensional case, and some algorithms of the portfolio optimization are proposed. Some regularities of the risk-profit relationship behaviour are considered.