| 期货经纪公司保证金的一种确定方法 |
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| 引用本文： | 刘慧宏,糜仲春,祁明德.期货经纪公司保证金的一种确定方法[J].运筹与管理,2004,13(4):98-101. |
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| 作者姓名： | 刘慧宏 糜仲春 祁明德 |
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| 作者单位： | 中国科技大学,商学院,安徽,合肥,230026 |
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| 摘 要： | 本文基于马尔可夫链在存储论中的应用，结合Ergodic定理，得到确定期货经纪公司保证金的Ergodic模型，即一个双目标规划问题，然后应用乘积最大化准则，将该模型转化为单目标规划问题来求解。该方法考虑期货经纪公司承担的风险和对投资者的吸引程度，为保证金的确定提供新的思路。
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| 关 键 词： | 运筹学 马尔可夫链 Ergodic定理 均衡分布 乘积最大化准则 |
| 文章编号： | 1007-3221(2004)04-0098-04 |
A Method for Futures Broker to Decide Margin |
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| LIU Hui-hong,MI Zhong-chun,Qi Ming-de.A Method for Futures Broker to Decide Margin[J].Operations Research and Management Science,2004,13(4):98-101. |
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| Authors: | LIU Hui-hong MI Zhong-chun Qi Ming-de |
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| Abstract: | Based on using Markov chains in inventory theory, with the theory of Erodic, we get the Erodic model for futures broker to decide margin. It's a bi-objective optimization problem. Then with the rule of maximum of product, we transform it to a single-objective optimization problem. The method considers futures broker's risk and its attraction to investors. The result provides suggestions to futures broker to decide margin. |
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| Keywords: | operational research Markov chains the theory of Ergodic stationary distribution the rule of maximum of product |
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