摘要
Portfoliomanagementisatypicaldecisionmakingproblemunderincomplete,sometimesunknown,information.Thispaperconsiderstheportfolioselectionproblemsunderageneralsettingofuncertainstateswithoutprobability.Theinvestor'spreferenceisbasedonhisoptimumdegreeaboutthenature,andhisattitudecanbedescribedbyanOrderedWeightedAveragingAggregationfunction.WeconstructtheOWAportfolioselectionmodel,whichisanonlinearprogrammingproblem.Theproblemcanbeequivalentlytransformedintoamixedintegerlinearprogramming.Anumericalexampleisgivenandthesolutionsimplythattheinvestor'sstrategiesdependnotonlyonhisoptimumdegreebutalsoonhispreferenceweightvector.Thegeneralgame-theoreticalportfolioselectionmethod,max-minmethodandcompetitiveratiomethodareallthespecialsettingsofthismodel.
出版日期
2004年01月11日(中国期刊网平台首次上网日期,不代表论文的发表时间)