| 一类投资组合选择的线性规划方法研究 |
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| 引用本文： | 余湄,汪寿阳. 一类投资组合选择的线性规划方法研究[J]. 系统科学与数学, 2009, 29(4): 536-546 |
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| 作者姓名： | 余湄 汪寿阳 |
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| 作者单位： | 1. 余湄,对外经济贸易大学金融学院,北京,100029
2. 汪寿阳,中国科学院数学与系统科学研究院,北京,100190 |
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| 基金项目： | 对外经济贸易大学211项目 |
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| 摘 要： | 如何在摩擦市场下构建最优组合一直是一个非常有意义的问题.人们通常在有效前沿上选择最优的投资组合,但是值得注意的是,如果我们考虑摩擦因素,原本的有效组合将不再有效.探讨如何在无风险借贷利率不同的摩擦市场下构建投资组合模型.为了得到最优策略,我们先利用Karush-Kuhn-Tucker条件给出一类线性规划问题求解方法,然后具体阐述如何将投资决策问题转化为可以求解的线性规划问题,最后给出在无风险借贷利率不同的情况下投资组合的有效边界.
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| 关 键 词： | 投资组合 线性规划 无风险借贷利率 交易费 |
| 收稿时间： | 2006-11-13 |
| 修稿时间： | 2009-02-05 |
A Study on a Kind of Linear Programming Methods in Portfolio Selection |
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| YU Mei,WANG Shouyang. A Study on a Kind of Linear Programming Methods in Portfolio Selection[J]. Journal of Systems Science and Mathematical Sciences, 2009, 29(4): 536-546 |
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| Authors: | YU Mei WANG Shouyang |
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| Affiliation: | (1)School of Finance and Banking, University of International Business and Economics, Beijing 100029; (2)Institute of Systems Science, Academy of Mathematics and Systems Sciences, Chinese Academy of Sciences, Beijing 100190. |
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| Abstract: | In this paper, we will study how to set up portfolio selection model in a frictional market. In order to get the optimal strategy, we transform the portfolio problem into a linear programming problem which can be solved by using Karush-Kuhn-Tucker condition. The efficient frontier for portfolio model is also given exactly. |
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| Keywords: | Linear programming portfolio selection transaction cost borrowing and lending. |
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