Solution Based On A Combination Of Multi-objective Study Of The Investment Strategy

Portfolio theory is defined as a process how to choose the optimal portfolio of assets in an exact proportion.Asset forms are diversifiable,so an investor can hold securities such as stocks,bonds,funds and foreign exchanges,as well as physical assets including real estate and work of art, etc.Therefore,how to pick a satisfactory portfolio will play a vital role for personal financial management,institutional investors' capital operation,as well as foreign exchange reserves management.After a portfolio is chosen,we need to evaluate it's effect to make sure if our goals is met.Considering investors' objective is not sole, multi-objective optimization strategy is critical model for investors to measure a portfolio.In the Multi-objective circumstances,the strategy can provide for decision-makers not one optimal solution,but a set of satisfied solutions,and decision-makers can be satisfied with different solutions according to their different preferences and wishes.Focusing on the practical application,the paper discusses the issue of the investment portfolio in the framework of multi-objective programming solution.Given the constraint condition,we select main ones among the diversifiable goals of portfolio as determinant variables and put them in the multi-objective decision-making formula to achieve a set of solutions.One solution definition matches one portfolio.Because our preferences(such as profitability,liquidity,risk,etc) has been embodied in the definition of the solution(according to our different preferences to the goals,the solution gives them different weights to reflect our preferences),we can avoid to pick portfolio based on our preferences.Thus we can choose one satisfied portfolio of assets during defining the solution.The definitions of solution of multi-objective programming are rich, profound and difficult to understand.In the paper,we sort out them and focus on the traditional appropriate non-inferior solution at the same time. Meanwhile,we extend and expand the traditional appropriate non-inferior solution and define a generalized appropriate non-inferior solution.The traditional appropriate non-inferior solution just compares the improvement of two goals to define the point of M.While the generalized appropriate non-inferior solution evaluates the goals which achieve improvement and the goals which suffer a loss to define the point of M.Meanwhile, according to our different preferences to the goals,the solution gives them different weights to reflect our preferences,so the the point of M can let us consider the advantage and the disadvantage of two portfolios as a whole, and is more desirable and practically significant.The paper firstly proposes the definitions of solution of multi-objective programming to propel the study of the investment portfolio.It combines the generalized appropriate non-inferior solution with ideal point solution to calculate the portfolio.One solution definition matches one portfolio. Even the variables have same weights,if the definition of the solution is different,we can get a different portfolio.