Research On Uncertain Portfolio Investment Models

In 1952, Markowitz who was an economist in America presented Mean-Variance model for the portfolio investment, which indicated that the modern theory of the portfolio investment had come out . After , lots of economists and mathematicians further study the theory , which causes the contents of the theory more substantial . At present, many interval and foreign scholars all study interval number linear programming problem . But there are a few of methods of interval number linear programming for the portfolio investment. In this paper , the author chiefly adopt the method of interval number linear programming to study the portfolio selection problem under uncertain states .The first charpter is the introduction , mainly introducing some fundamental definitions and summarizing the survey of the portfolio investment . Finally , we also summarizing the chief contents and the significance of the paper .The second charpter will set up a multi-objective linear programming model for the portfolio investment on two conditions . One is real number linear programming , the other is interval number linear programming . The two conditions all include the investment without risk and the deal cost. In the end , the numerical examples are given to show the feasibility and validity of the model.The third charpter will present a satisfactory solution for interval number linear programming of the portfolio investment . We will further discuss the satisfactory solution for interval number linear programming of the portfolio investment under the investment without risk and the deal cost . Finally , we will also give some examples to show the application value and the feasibility of the model.