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Investment Decision Model Based on Multi-objective Programming

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DOI: 10.23977/edms.2019.008


Yukun Lu, Yuqian Hu, Chen Ai

Corresponding Author

Yukun Lu


The design of a portfolio investment strategy for multiple venture capital and a risk-free asset in the market needs to consider two objectives: the overall return is as large as possible and the overall risk is as small as possible. However, the two objectives are not mutually reinforcing. In a certain sense, they are opposite. In this paper, the multi-objective decision-making method is used to establish the model, and the investment benefit is the goal. The optimization model is established for the investment problem. Different investment methods have different risks and benefits. According to the principle of the optimization model, the model proposes two criteria, so that the economic benefits are as large as possible and the risks are as small as possible under certain conditions of investment. At the same time, a linear programming model for portfolio investment scheme design is given. The main idea is to integrate two design goals through linear weighting: assuming that the transaction fee function is approximately linearized on the basis of considerable investment scale, and the risk function is solved by decision variables.


Portfolio, Multi-objective Programming, Linear Programming, Linear Weighting

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