%0 Journal Article
%T A Risk-Return Model of Group Decision Making in Investment Fund<br>投资基金群决策风险-收益模型
%A LIU Shan-cun
%A QIU Wan-hua
%A WEI Cun-ping
%A WANG Shou-yang
%A <br>刘善存
%J 系统工程理论与实践
%D 2001
%I 
%X Investment fund is served as a popular tool by investors in portfolio selection problems. It can be operated by experts with special knowledge and experience. In this paper, return, risk and transaction costs are the main objectives concerned in our portfolio selection model. First, we aggregated the judgements of objectives and weights given by a group of experts to a group consensus judgements with relative entropy method (REM); Second, we construct the hierarchical goal programming, which can be translated into two linear programming equivalently. Last, a numerical example was given.
%K investment fund
%K group decision making
%K portfolio
%K relative entropy method
%K goal programming<br>投资基金
%K 群体决策
%K 投资组合
%K 相对熵方法
%K 目的规划
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=BAD316941ED55FC2&yid=14E7EF987E4155E6&vid=659D3B06EBF534A7&iid=F3090AE9B60B7ED1&sid=9CF7A0430CBB2DFD&eid=7801E6FC5AE9020C&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=9&reference_num=13