The Study Of Portfolio Model Based On Interval Linear Programming

The investment of investors,in essence,is made in the uncertainty of the return and risk,which is the difficulty of decision analysis.To describe this uncertainty objectively and avoid the loss caused by uncertainty,can rely on the relevant theoretical knowledge of fuzzy mathematics.In this paper,the three elements of the portfolio are extended to the interval,and the profitability interval and the exchange rate range are obtained by using the objective frequency statistics method.The maximum and minimum semi-absolute risk function is used as the risk measure function.The portfolio selection model based on interval linear programming is created to solve the linear programming,in which the objective function and the constraint function contains the interval number.Two solutions based on the interval order relation and the interval inequality satisfaction degree are given,and the interval linear programming problem,two solutions based on interval order relation and interval inequality satisfaction are given.Eight constituent stocks of SSE 50 index are selected for empirical analysis,and good results are obtained.