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...
Збережено в:
Дата: | 2010 |
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Автор: | |
Формат: | Стаття |
Мова: | rus |
Опубліковано: |
The National Technical University of Ukraine "Igor Sikorsky Kyiv Polytechnic Institute"
2010
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Онлайн доступ: | http://journal.iasa.kpi.ua/article/view/106924 |
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Назва журналу: | System research and information technologies |
Репозитарії
System research and information technologiesРезюме: | 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. |
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