کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5776369 1631972 2017 26 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
An efficient dynamic model for solving a portfolio selection with uncertain chance constraint models
ترجمه فارسی عنوان
یک مدل پویای کارآمد برای حل انتخاب نمونه کارها با مدل های محدودیت شانس نامشخص
کلمات کلیدی
محدودیت شانس، انتخاب نمونه کارها، متغیر نامعلوم، برنامه ریزی معادل صحیح شبکه عصبی،
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
چکیده انگلیسی
This paper presents a neural network model for solving maximization programming model with chance constraint, in which the security returns are uncertain variables. The main idea is to replace the portfolio selection models when the uncertain returns are chosen as some special cases such as linear uncertain variables, trapezoidal uncertain variables and normal uncertain variables, with a linear programming (LP) problem. According to the saddle point theorem, optimization theory, convex analysis theory, Lyapunov stability theory and LaSalle invariance principle, the equilibrium point of the proposed neural network is proved to be equivalent to the optimal solution of the original problem. It is also shown that the proposed neural network model is stable in the sense of Lyapunov and it is globally convergent to an exact optimal solution of the portfolio selection problem with uncertain returns. Two illustrative examples are provided to show the feasibility and the efficiency of the proposed method in this paper.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Computational and Applied Mathematics - Volume 319, 1 August 2017, Pages 43-55
نویسندگان
, , ,